# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-23-016718
**Filing Date:** 2023-1
**Character Count:** 1450431
**Document Hash:** db98c4c5ee455c8b8ffd95ff4cca11ce
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016718.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016718

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 23563097

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Mortgage-Backed Securities Fund (Series ID: S000003488)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009646 | Class I      | OMBIX           |
| C000009647 | Class A      | OMBAX           |
| C000009648 | Class R6     | JMBUX           |
| C000116212 | Class C      | OBBCX           |

## Nport-Ex

**JPMorgan Mortgage-Backed Securities Fund**

**Schedule of Portfolio Investments as of November 30, 2022**

**(Unaudited)** 

---

| |
|:---|
| &nbsp;&nbsp; THE "UNAUDITED MUTUAL FUNDS HOLDINGS" LIST ("the <br> List") IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS <br> NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR <br> SALES LITERATURE WITH THE GENERAL PUBLIC. The list is <br> submitted for the general information of the shareholders of the Fund. <br> It is not authorized for distribution to prospective investors in the Fund <br> unless preceded or accompanied by a prospectus. The list has been <br> created from the books and records of the Fund. Holdings are <br> available 60 days after the fund's fiscal quarter, using a trade date <br> accounting convention, by contacting the appropriate service center. <br> The list is subject to change without notice. The list is for <br> informational purposes only and is not intended as an offer or <br> solicitation with respect to the purchase or sale of any security.<br>|
| &nbsp;&nbsp; JPMorgan Asset Management is the marketing name for the asset <br> management business of J.P. Morgan Chase & Co.<br>|
| J.P. Morgan Distribution Services, Inc., member FINRA. |
|© J.P. Morgan Chase & Co., 2022. |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE** <br>**($000)**<br>|
| **Mortgage-Backed Securities — 53.5%** | **Mortgage-Backed Securities — 53.5%** | **Mortgage-Backed Securities — 53.5%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 2.36%, 12/1/2033 (a) | 37 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 2.83%, 4/1/2034 (a) | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 2.37%, 1/1/2035 (a) | 40 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B2844, ARM, 2.23%, 3/1/2035 (a) | 22 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0007, ARM, 4.02%, 12/1/2035 (a) | 16 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 972200, ARM, 2.66%, 3/1/2036 (a) | 37 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 3.50%, 3/1/2036 (a) | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2618, ARM, 3.25%, 5/1/2036 (a) | 31 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 3.35%, 6/1/2036 (a) | 52 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 3.97%, 8/1/2036 (a) | 34 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 4.03%, 9/1/2036 (a) | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0249, ARM, 4.14%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 4.31%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 4.44%, 10/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 1.89%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 2.39%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 3.74%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 4.31%, 11/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1386, ARM, 2.55%, 12/1/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 2.07%, 2/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1555, ARM, 2.66%, 2/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 4.02%, 3/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 3.49%, 5/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2229, ARM, 4.02%, 9/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0134, ARM, 4.35%, 10/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 2.61%, 4/1/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0789, ARM, 2.82%, 5/1/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91042, 5.50%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91158, 6.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91180, 5.50%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # D98938, 4.00%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # D53146, 6.50%, 5/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C18115, 6.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00701, 6.50%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03029, 6.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C75791, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C01735, 4.00%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16253, 6.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16843, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A24712, 6.50%, 7/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46417, 7.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | 327 | 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A80290, 5.00%, 11/1/2035 | 389 | 401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05713, 6.50%, 12/1/2035 | 312 | 324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A54679, 6.50%, 6/1/2036 | 19 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02637, 7.00%, 10/1/2036 | 136 | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | 52 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04077, 6.50%, 3/1/2038 | 92 | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05190, 7.50%, 9/1/2038 | 14 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03466, 5.50%, 3/1/2040 | 76 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | 590 | 603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | 968 | 971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G60039, 3.00%, 4/1/2043 | 3908 | 3590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G60105, 5.00%, 6/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q37784, 3.50%, 12/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q39412, 3.50%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q40797, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q40922, 3.50%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q42079, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # V84637, 4.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61709, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1074 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q62088, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 583 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # B90491, 7.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WA1626, 3.45%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN1179, 3.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80047, 4.00%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80068, 3.50%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80125, 3.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80173, 3.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80265, 3.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10224, 6.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # H00158, 6.00%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10291, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51353, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50595, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51361, 6.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G80365, 6.50%, 10/17/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1664 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T65101, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90378, 4.00%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90542, 4.00%, 12/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91449, 4.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99051, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 994 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69039, 4.00%, 2/1/2046 | 2269 | 2190 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0104, 3.50%, 8/1/2035 | 4405 | 4314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1675, 3.50%, 4/1/2037 | 2590 | 2494 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA1617, 3.50%, 8/1/2049 | 773 | 715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA1623, 4.00%, 9/1/2049 | 2009 | 1941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5403, 4.00%, 11/1/2049 | 795 | 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5096, 4.00%, 12/1/2049 | 1294 | 1239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA5982, 4.00%, 12/1/2049 | 950 | 908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2008, 4.00%, 1/1/2050 | 2533 | 2433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA7351, 3.00%, 2/1/2050 | 353 | 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2272, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp; 18033 | &nbsp;&nbsp;&nbsp;&nbsp; 16936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0097, 4.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA4515, 4.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QC2209, 3.50%, 5/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE5028, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE4140, 5.50%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5906 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 2.80%, 9/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 3.97%, 3/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555258, ARM, 2.65%, 1/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 722421, ARM, 2.66%, 7/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 686040, ARM, 3.67%, 7/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 4.06%, 9/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 3.73%, 11/1/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 3.36%, 1/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735648, ARM, 3.99%, 2/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770377, ARM, 2.35%, 4/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751531, ARM, 3.34%, 5/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 778908, ARM, 3.68%, 6/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 800422, ARM, 2.46%, 8/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735332, ARM, 3.63%, 8/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 3.90%, 9/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735740, ARM, 3.19%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 794797, ARM, 3.54%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803599, ARM, 3.83%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803594, ARM, 3.84%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 4.32%, 10/1/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 4.11%, 1/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 3.79%, 2/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735539, ARM, 2.70%, 4/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 3.28%, 4/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 3.04%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 3.16%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821179, ARM, 3.19%, 5/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745766, ARM, 3.46%, 6/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 3.90%, 9/1/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 3.61%, 1/1/2036 (a) | 27 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920843, ARM, 3.95%, 3/1/2036 (a) | 434 | 445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872825, ARM, 4.09%, 6/1/2036 (a) | 43 | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 892868, ARM, 4.02%, 7/1/2036 (a) | 34 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 4.02%, 8/1/2036 (a) | 32 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920547, ARM, 3.10%, 9/1/2036 (a) | 97 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894239, ARM, 4.18%, 10/1/2036 (a) | 23 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900191, ARM, 4.33%, 10/1/2036 (a) | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902818, ARM, 4.20%, 11/1/2036 (a) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902955, ARM, 4.05%, 12/1/2036 (a) | 21 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995919, ARM, 3.83%, 7/1/2037 (a) | 27 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 938346, ARM, 4.04%, 7/1/2037 (a) | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0085, ARM, 3.49%, 11/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0179, ARM, 4.32%, 12/1/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966946, ARM, 2.28%, 1/1/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995428, 5.50%, 11/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995456, 6.50%, 2/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0133, 5.00%, 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AX7598, 3.00%, 1/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889889, 6.50%, 7/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257055, 6.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0049, 6.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0602, 3.50%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP3582, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9830, 3.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6238, 4.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 963 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 756020, 8.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 527285, 7.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776702, 4.50%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 567036, 8.50%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 613000, 7.00%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 610591, 7.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 788150, 6.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 649734, 7.00%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 668825, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 682078, 5.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 668562, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 357363, 5.50%, 3/1/2033 | 205 | 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688655, 6.00%, 3/1/2033 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | 136 | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695403, 5.00%, 6/1/2033 | 85 | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995656, 7.00%, 6/1/2033 | 101 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | 32 | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | 97 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 726912, 4.00%, 8/1/2033 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753696, 4.00%, 8/1/2033 | 19 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 726914, 6.50%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA7943, 4.00%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759424, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751182, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 767378, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776565, 4.00%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC1317, 4.50%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745281, 6.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888417, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833629, 7.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893268, 6.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833657, 7.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 878225, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 985683, 8.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888476, 7.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945870, 6.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946338, 7.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888707, 7.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889883, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC9081, 6.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 909236, 7.00%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 934591, 7.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2869, 6.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995504, 7.50%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890661, 7.00%, 2/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0780, 7.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD6377, 5.50%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD4951, 5.00%, 7/1/2040 | 1228 | 1256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5364, 4.00%, 4/1/2042 | 1524 | 1486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6839, 5.00%, 4/1/2042 | 753 | 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR8128, 3.50%, 3/1/2043 | 1146 | 1080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8256, 3.00%, 8/1/2043 | 2565 | 2354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ8089, 4.00%, 7/1/2045 | 377 | 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA2343, 4.00%, 9/1/2045 | 1731 | 1685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC9441, 3.50%, 4/1/2046 | 237 | 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC6982, 4.00%, 4/1/2046 | 1318 | 1284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0299, 3.50%, 5/1/2046 | 353 | 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC1249, 3.50%, 6/1/2046 | 242 | 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD1243, 3.50%, 6/1/2046 | 468 | 438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3066, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3088, 3.50%, 7/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD5248, 3.50%, 8/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD7764, 3.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE5870, 3.50%, 1/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH4665, 4.00%, 6/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7626, 4.00%, 8/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7663, 4.00%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1778, 4.50%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3044, 4.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8351, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3455, 4.50%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7006, 4.50%, 6/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD9084, 4.50%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK9303, 4.00%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4662, 3.50%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890863, 5.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1829, 4.50%, 10/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4960, 5.00%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5430, 5.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN5013, 5.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN6788, 4.50%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK0317, 4.00%, 3/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0719, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0721, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0722, 5.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4276, 3.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4277, 3.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4280, 4.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN8529, 4.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3436, 4.50%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0718, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0720, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2496, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2497, 5.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2350 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2498, 5.00%, 7/1/2049 | 2611 | 2669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2499, 5.00%, 7/1/2049 | 765 | 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3408, 5.00%, 7/1/2049 | 596 | 596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3749, 4.00%, 8/1/2049 | 1807 | 1778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3999, 4.00%, 8/1/2049 | 831 | 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2495, 5.00%, 8/1/2049 | 2370 | 2400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8769, 3.50%, 10/1/2049 | 1428 | 1322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4363, 4.00%, 10/1/2049 | 1207 | 1161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2888, 4.00%, 11/1/2049 | 1372 | 1327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4387, 4.00%, 11/1/2049 | 1705 | 1636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2526, 4.00%, 12/1/2049 | 3180 | 3122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1128, 4.00%, 1/1/2050 | 815 | 780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1132, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1141, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP1847, 4.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP6363, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5296, 3.50%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5302, 4.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8337, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5729, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8338, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2693, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9337, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9950, 3.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6430, 3.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4410, 3.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1646, 3.00%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ2143, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4113, 3.00%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ5586, 3.00%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR0870, 3.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9961, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3570, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3283, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3269, 3.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV3276, 3.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV9064, 3.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5359, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW3203, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4016, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4019, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4041, 5.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7853, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW4042, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5398, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX2815, 4.50%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2047 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535183, 8.00%, 6/1/2028 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252155, 7.00%, 10/1/2028 | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252334, 6.50%, 2/1/2029 | 47 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | 43 | 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535442, 8.50%, 6/1/2030 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | 26 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 954255, 6.50%, 8/1/2037 | 366 | 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 931717, 6.50%, 8/1/2039 | 187 | 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3030, 4.50%, 1/1/2049 | 5512 | 5340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4047, 4.00%, 8/1/2049 | 6082 | 5753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4520, 3.50%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4341 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7321, 3.12%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4571, 3.07%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8745, 2.81%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8987, 2.79%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 109421, 3.75%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0920, 3.82%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2391 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0819, 3.95%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4154, 3.17%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN4349, 3.35%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5292, 2.53%, 5/1/2029 | &nbsp;&nbsp;&nbsp; 22121 | &nbsp;&nbsp;&nbsp;&nbsp; 19871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5989, 3.21%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8154, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7348, IO, 5.08%, 2/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6878, 3.11%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6827, 4.19%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5224, 2.52%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5389, 3.03%, 11/1/2030 | &nbsp;&nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp; 10261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0099, 3.28%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6828, 4.07%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5378, 3.45%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2915, 1.87%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1676, 2.99%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AI2479, 5.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2035, 1.84%, 6/1/2031 | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2422, 1.67%, 7/1/2031 | &nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7268, 5.05%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2898, 1.56%, 9/1/2031 | &nbsp;&nbsp;&nbsp; 20203 | &nbsp;&nbsp;&nbsp;&nbsp; 15959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4279, 2.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5371, 3.16%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6765, 4.24%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4525, 1.94%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4315, 1.98%, 1/1/2032 | &nbsp;&nbsp;&nbsp; 16418 | &nbsp;&nbsp;&nbsp;&nbsp; 13459 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4142, 2.13%, 1/1/2032 | 7885 | 6658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1054, 4.25%, 2/1/2032 | 1719 | 1679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.75%, 3/1/2032 (a) | 19196 | 15370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4654, 2.39%, 3/1/2032 | 4939 | 4233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5130, 2.55%, 4/1/2032 | 4949 | 4313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5193, 2.62%, 4/1/2032 | 8053 | 6957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5259, 2.84%, 4/1/2032 | 10000 | 8827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5231, 2.54%, 5/1/2032 | 8400 | 7214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5452, 3.09%, 5/1/2032 | 9070 | 8139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5643, 3.62%, 5/1/2032 | 3572 | 3368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6091, 3.68%, 7/1/2032 | 2184 | 2058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6195, 4.12%, 7/1/2032 | 4911 | 4800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4203, 2.36%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6123, 3.06%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6301, 3.67%, 8/1/2032 | &nbsp;&nbsp; 21407 | &nbsp;&nbsp;&nbsp;&nbsp; 20171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6611, 3.72%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6425, 3.88%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6269, 4.03%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7247, 5.19%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6335, 3.75%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6331, 3.76%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6440, 3.78%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp; 11723 | &nbsp;&nbsp;&nbsp;&nbsp; 11161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6697, 4.12%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6698, 4.12%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6651, 2.94%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6398, 3.87%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6995, 4.18%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6849, 4.23%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7006, 4.79%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6994, 4.85%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7223, 5.09%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7001, 4.36%, 12/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7090, 4.45%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7095, 4.80%, 12/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7320, IO, 4.88%, 12/1/2032 (b) | &nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7318, 4.94%, 12/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7182, IO, 5.11%, 12/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7267, IO, 5.18%, 12/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD8548, 5.50%, 1/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR7484, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2088, 2.02%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7117, 3.50%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2389, 1.86%, 7/1/2033 | &nbsp;&nbsp; 18000 | &nbsp;&nbsp;&nbsp;&nbsp; 14027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2933, 1.82%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 754922, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3445, 1.88%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0466, 3.69%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2813 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 109738, 3.78%, 10/1/2033 | 4825 | 4534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3315, 1.82%, 11/1/2033 | 23000 | 17816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762520, 4.00%, 11/1/2033 | 131 | 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4163, 2.04%, 1/1/2034 | 9754 | 7942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4911, 2.49%, 4/1/2034 | 3957 | 3334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4985, 2.61%, 4/1/2034 | 5200 | 4315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5184, 2.67%, 4/1/2034 | 3288 | 2716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5237, 2.86%, 4/1/2034 | 9007 | 7685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5314, 3.29%, 9/1/2034 | 5401 | 4709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6427, 3.75%, 9/1/2034 | 9130 | 8383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | 2000 | 1714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5018, 2.88%, 10/1/2035 | 4358 | 3517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847108, 6.50%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 881628, 5.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256128, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7254, 5.42%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 868763, 6.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872740, 6.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4039, 2.37%, 12/1/2036 | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4040, 2.37%, 12/1/2036 | &nbsp;&nbsp;&nbsp; 11965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256651, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888373, 7.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5655, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 8093 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5763, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888796, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888698, 7.00%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7345, 3.21%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 8163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6588, 4.18%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257172, 5.50%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0810, 6.00%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB1830, 3.50%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2606, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO6757, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9353, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP0838, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1177, 3.50%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1178, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1213, 3.50%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB8517, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1373, 3.50%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1437, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1442, 4.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1463, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 867 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1552, 3.00%, 8/1/2043 | 631 | 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1582, 3.50%, 9/1/2043 | 122 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2434, 3.50%, 9/1/2045 | 657 | 616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2493, 3.50%, 12/1/2045 | 129 | 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC1157, 3.50%, 1/1/2046 | 582 | 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2545, 3.50%, 2/1/2046 | 233 | 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6970, 3.50%, 4/1/2046 | 1403 | 1313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BC8400, 3.50%, 5/1/2046 | 352 | 330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS7424, 3.50%, 6/1/2046 | 944 | 884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2658, 3.50%, 6/1/2046 | 3761 | 3520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0491, 3.50%, 12/1/2054 | 15740 | 14692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0557, 2.50%, 12/1/2055 | 6896 | 5938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0141, 5.50%, 9/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 8358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0230, 5.50%, 1/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 7229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0271, 5.50%, 5/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 4217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0340, 5.00%, 1/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 7627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 5680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0507, 3.00%, 9/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 3370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0560, 2.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp; 11270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0562, 3.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 9418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 4753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0586, 5.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3842 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 5.50%, 12/25/2052 (b) | &nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp; 50568 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 554105, 6.50%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 345288, 7.50%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 623185, 7.00%, 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 628407, 6.50%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 441957, 6.38%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780653, 6.50%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 450038, 7.50%, 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 556255, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569568, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 611453, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569423, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 552665, 7.00%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782032, 7.00%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591420, 7.50%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604168, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 615786, 7.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 638733, 7.00%, 3/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759537, 3.49%, 1/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759561, 3.49%, 1/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759374, 3.49%, 2/15/2041 | 1038 | 1006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762703, 3.49%, 2/15/2041 | 487 | 472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762954, 2.99%, 3/15/2041 | 204 | 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763239, 2.99%, 3/15/2041 | 182 | 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762751, 3.49%, 3/15/2041 | 1271 | 1232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762953, 3.49%, 3/15/2041 | 737 | 714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762973, 3.49%, 3/15/2041 | 206 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763140, 3.13%, 4/15/2041 | 119 | 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763021, 3.49%, 4/15/2041 | 143 | 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763180, 3.49%, 4/15/2041 | 64 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 380437, 3.13%, 5/15/2041 | 118 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770881, 3.13%, 5/15/2041 | 117 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 763366, 3.49%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770909, 2.99%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 380436, 3.38%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770754, 3.38%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770879, 3.38%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7652, 4.00%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784450, 4.00%, 2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6468, 5.00%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2741 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1750, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4206, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4207, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4208, 5.00%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1957, 5.00%, 5/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4051, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2941 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4052, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4053, 5.00%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9691, 4.50%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2141, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2163, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2281, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2305, 5.00%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2390, 3.50%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7021, 3.50%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7044, 3.50%, 9/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7064, 3.50%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7857, 3.50%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7874, 3.50%, 12/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3251, 3.50%, 12/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7887, 3.50%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3320, 3.50%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3304, 3.50%, 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE2513, 3.50%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1898, 5.50%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1926, 5.00%, 10/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4415 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG8187, ARM, 5.70%, 8/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9664 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH2658, ARM, 5.74%, 9/20/2071 (a) | 4761 | 4879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH4939, ARM, 5.69%, 10/20/2071 (a) | 3364 | 3440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ6767, ARM, 5.55%, 11/20/2071 (a) | 9589 | 9748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ7141, ARM, 5.66%, 11/20/2071 (a) | 4400 | 4498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ9640, ARM, 5.73%, 11/20/2071 (a) | 10604 | 10870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5553, ARM, 5.84%, 11/20/2071 (a) | 11646 | 12038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5557, ARM, 5.84%, 11/20/2071 (a) | 9917 | 10249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2767, ARM, 5.86%, 12/20/2071 (a) | 8819 | 9128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ7149, ARM, 5.90%, 12/20/2071 (a) | 5397 | 5586 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1974, 8.50%, 3/20/2025 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2006, 8.50%, 5/20/2025 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737076, 6.50%, 10/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 616732, 6.50%, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 748766, 6.50%, 1/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752496, 6.50%, 1/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783389, 6.00%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783444, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742853, 3.88%, 4/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742810, 3.88%, 6/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742801, 3.88%, 8/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742876, 3.25%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742878, 3.88%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8504, 2.50%, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742883, 3.25%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742885, 3.75%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 742884, 3.88%, 2/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751810, 3.50%, 3/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1781, 4.50%, 5/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1778, 4.00%, 10/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1774, 3.50%, 12/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1664, 4.00%, 12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1780, 4.50%, 10/20/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE8053, 4.00%, 12/20/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1770, 3.00%, 6/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1661, 3.50%, 8/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1773, 3.50%, 9/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AJ9020, 4.50%, 10/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783967, 4.25%, 12/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1777, 4.00%, 3/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6444, 2.50%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8502, 2.50%, 12/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1370 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8503, 2.50%, 12/20/2045 | 1198 | 1051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8803, 4.00%, 3/20/2046 | 1158 | 1127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1663, 4.00%, 7/20/2046 | 1457 | 1417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS8110, 3.75%, 8/20/2046 | 2086 | 1991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2378, 3.25%, 2/20/2047 | 277 | 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2381, 4.25%, 7/20/2047 | 1034 | 1008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1769, 3.00%, 8/20/2047 | 1921 | 1741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1654, 3.00%, 9/20/2047 | 723 | 656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2388, 4.25%, 9/20/2047 | 3446 | 3359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD3185, 4.00%, 10/20/2047 | 9678 | 9304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1660, 3.50%, 11/20/2047 | 1835 | 1705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1772, 3.50%, 11/20/2047 | 4562 | 4238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1776, 4.00%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2392, 4.25%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE4662, 4.00%, 12/20/2047 | &nbsp;&nbsp;&nbsp; 13135 | &nbsp;&nbsp;&nbsp;&nbsp; 12853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BB8795, 4.00%, 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2395, 4.25%, 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2404, 4.25%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG6360, 5.00%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2645, 5.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2405, 4.25%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0531, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0532, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2971, 5.00%, 6/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2407, 4.25%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2064 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2408, 4.50%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7397, 4.50%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF3017, 5.00%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2409, 4.25%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2410, 4.50%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0550, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7389, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG7391, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2412, 4.50%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784626, 4.50%, 10/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI4488, 4.50%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2585, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2586, 5.00%, 11/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6431, 4.50%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6669, 4.50%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH3133, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7083, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7084, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7169, 5.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1334, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1853 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9641, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9642, 5.00%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9824, 4.50%, 2/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2176 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9825, 4.50%, 2/20/2049 | 1223 | 1205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7188, 4.50%, 2/20/2049 | 1425 | 1413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9630, 5.00%, 2/20/2049 | 541 | 547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9633, 5.00%, 2/20/2049 | 793 | 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7189, 5.00%, 2/20/2049 | 1421 | 1448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7198, 4.50%, 3/20/2049 | 975 | 957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6765, 5.50%, 5/20/2049 | 1811 | 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0907, 4.50%, 6/20/2049 | 970 | 956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1498, 5.00%, 6/20/2049 | 1980 | 1992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1499, 5.00%, 6/20/2049 | 2725 | 2779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1500, 5.50%, 6/20/2049 | 845 | 862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2627, 4.00%, 7/20/2049 | 2279 | 2191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2628, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0521, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9692, 4.50%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 903 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0879, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3160, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4237, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4238, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4240, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4241, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4242, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9354, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2327, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2418, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0884, 4.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0889, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN7048, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN7049, 4.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0890, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0891, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0893, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3257, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4290, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4291, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4292, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1941 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4293, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4294, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0896, 4.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0930, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9714, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784810, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3908 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2995, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP2853, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8644, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8645, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3138, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2994, 4.50%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ9513, 3.50%, 11/20/2049 | 1371 | 1288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3791, 4.00%, 11/20/2049 | 1637 | 1574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2638, 4.00%, 11/20/2049 | 464 | 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784847, 4.50%, 11/20/2049 | 3827 | 3751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP2896, 4.50%, 11/20/2049 | 1454 | 1454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7772, 4.50%, 11/20/2049 | 355 | 357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8665, 4.50%, 11/20/2049 | 525 | 517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8666, 4.50%, 11/20/2049 | 1236 | 1217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8667, 5.00%, 11/20/2049 | 621 | 629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8668, 5.00%, 11/20/2049 | 372 | 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR1542, 5.00%, 11/20/2049 | 1018 | 1025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8669, 5.50%, 11/20/2049 | 246 | 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7668, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7795, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8670, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9372, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5516, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8672, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8673, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8674, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3790, 4.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9866, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9374, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8676, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8677, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8678, 5.00%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8679, 5.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8021, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8681, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9379, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8682, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8683, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0281, 4.00%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8688, 4.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR0539, 4.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8020, 3.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1002 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8022, 3.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1338, 4.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7054, 4.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8384, 5.00%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8400, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0397, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4110, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5879, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8411, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT0399, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3628, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3629, 3.50%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8043, 3.50%, 3/20/2050 | 1293 | 1216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8044, 3.50%, 3/20/2050 | 3169 | 2979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8045, 3.50%, 3/20/2050 | 4053 | 3789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8046, 3.50%, 3/20/2050 | 5320 | 4985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8047, 3.50%, 3/20/2050 | 3810 | 3633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8048, 3.50%, 3/20/2050 | 3261 | 3154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5873, 4.00%, 3/20/2050 | 463 | 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5874, 4.00%, 3/20/2050 | 2906 | 2794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7064, 3.50%, 4/20/2050 | 823 | 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3736, 3.50%, 4/20/2050 | 2184 | 2042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU3072, 5.00%, 4/20/2050 | 1106 | 1138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4098, 3.00%, 5/20/2050 | 7454 | 6745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3899, 3.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4019, 3.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7069, 3.25%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7083, 3.25%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7609, 3.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT3843, 3.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7073, 4.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2935, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6609, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6631, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6670, 4.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA6661, 5.50%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4096, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7682, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7084, 3.25%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8680, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1951 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8683, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8684, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8685, 3.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7086, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7092, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3901, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT4070, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8688, 4.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7087, 4.25%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2372, 4.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6632, 4.50%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7088, 5.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8696, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8711, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8727, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1864 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW0561, 3.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7085, 3.25%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8699, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8700, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8716, 3.50%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1977 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1837 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7097, 4.00%, 7/20/2050 | 3627 | 3486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7564, 4.00%, 7/20/2050 | 2547 | 2439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8702, 4.00%, 7/20/2050 | 714 | 687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5975, 4.00%, 7/20/2050 | 573 | 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW5994, 4.00%, 7/20/2050 | 1370 | 1357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2395, 4.50%, 7/20/2050 | 1690 | 1699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8722, 2.50%, 8/20/2050 | 3279 | 2884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV8726, 3.00%, 8/20/2050 | 835 | 757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4922, 3.00%, 8/20/2050 | 523 | 474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4923, 3.00%, 8/20/2050 | 2915 | 2634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1746, 3.25%, 8/20/2050 | 3836 | 3522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3911, 3.50%, 8/20/2050 | 4003 | 3719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2402, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4927, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4928, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4939, 3.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1747, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7383, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX6092, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX6093, 4.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW0559, 4.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7033, 4.50%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1653, 3.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1757, 3.25%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3917, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7559, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1718, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1758, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4956, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3407, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3408, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY3432, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3918, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1759, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3717, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX3718, 4.00%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7043, 4.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1760, 4.75%, 9/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX4971, 2.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6410, 2.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1771, 3.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1772, 3.25%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU7550, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1773, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6416, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1658, 3.50%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6421, 4.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1662, 4.00%, 10/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1774, 4.25%, 10/20/2050 | 1054 | 1022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6440, 2.50%, 11/20/2050 | 2481 | 2178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6441, 2.50%, 11/20/2050 | 2154 | 1890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6443, 2.50%, 11/20/2050 | 1915 | 1678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6445, 2.50%, 11/20/2050 | 2312 | 2033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6447, 3.00%, 11/20/2050 | 3734 | 3388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2574, 3.00%, 11/20/2050 | 1023 | 924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3559, 3.00%, 11/20/2050 | 983 | 888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2575, 3.25%, 11/20/2050 | 3108 | 2852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6453, 3.50%, 11/20/2050 | 967 | 906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6454, 3.50%, 11/20/2050 | 1981 | 1855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6455, 3.50%, 11/20/2050 | 1695 | 1585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6456, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1771, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3527, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3560, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY5559, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6457, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY6458, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2576, 4.00%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7851, 4.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1779, 4.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8546, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8499, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8500, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8501, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8505, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8507, 2.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2590, 3.25%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2591, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2592, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8515, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8516, 3.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1775, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ6501, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8495, 4.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7873, 4.50%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4508, 5.00%, 12/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 709 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8530, 2.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4502, 3.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4503, 3.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2606, 3.25%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp; 11853 | &nbsp;&nbsp;&nbsp;&nbsp; 10896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7890, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp; 10179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8541, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8542, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1505, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp; 11857 | &nbsp;&nbsp;&nbsp;&nbsp; 11061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4504, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1345 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2614, 4.00%, 1/20/2051 | 530 | 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ8544, 4.00%, 1/20/2051 | 833 | 800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2357, 4.00%, 1/20/2051 | 1396 | 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4506, 4.00%, 1/20/2051 | 1431 | 1407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1543, 3.00%, 2/20/2051 | 6044 | 5461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3225, 3.25%, 2/20/2051 | 1011 | 928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA9001, 3.50%, 2/20/2051 | 7085 | 6581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3226, 3.50%, 2/20/2051 | 841 | 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4521, 3.50%, 2/20/2051 | 1530 | 1442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4522, 3.50%, 2/20/2051 | 1091 | 1045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4524, 4.00%, 2/20/2051 | 1123 | 1078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA8994, 4.50%, 2/20/2051 | 1173 | 1171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4433, 3.00%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3240, 3.25%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3242, 3.50%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4538, 3.50%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3253, 3.25%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3254, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3255, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3256, 3.50%, 4/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9816, 3.00%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0432, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0433, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0434, 3.50%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9825, 2.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9826, 2.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9831, 3.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0442, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0443, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0444, 3.50%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9835, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9836, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CC9837, 4.00%, 6/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0454, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9918, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9919, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9920, 3.50%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9923, 4.00%, 7/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9932, 3.00%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0461, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9935, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9936, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9937, 3.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9939, 4.00%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0469, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG4129, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG4130, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0092, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5315 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0476, 3.50%, 10/20/2051 | 1121 | 1049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD0477, 3.50%, 10/20/2051 | 2172 | 2017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0834, 3.50%, 10/20/2051 | 994 | 931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0835, 3.50%, 10/20/2051 | 986 | 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0836, 3.50%, 10/20/2051 | 1265 | 1182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0837, 3.50%, 10/20/2051 | 1046 | 978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0838, 3.50%, 10/20/2051 | 1713 | 1591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0840, 4.00%, 10/20/2051 | 1469 | 1411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0841, 4.00%, 10/20/2051 | 1483 | 1420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0848, 3.00%, 11/20/2051 | 1390 | 1261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0849, 3.00%, 11/20/2051 | 2724 | 2470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0850, 3.00%, 11/20/2051 | 2040 | 1848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0851, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0852, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0076, 3.00%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0077, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0078, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI9257, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0860, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0861, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0862, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0864, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0868, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH7863, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH0871, 4.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0090, 2.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0092, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CJ3916, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4908, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4909, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4916, 3.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0093, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0094, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1583, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK4918, 3.50%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7137, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2667, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2170, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9786 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0110, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1777, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1778, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1827, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1828, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL1829, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM1692, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2218, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1976 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2221, 3.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI0111, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN3435, 4.50%, 4/20/2052 | 991 | 973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN3436, 4.50%, 4/20/2052 | 5661 | 5554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4826, 5.00%, 6/20/2052 | 4909 | 4907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO5339, 5.00%, 6/20/2052 | 4572 | 4638 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0018, 3.75%, 12/20/2032 | 841 | 823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AH5895, 4.00%, 6/20/2034 | 273 | 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4285, 6.00%, 11/20/2038 | 16 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1377, 3.75%, 2/20/2040 | 920 | 903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1378, 4.00%, 1/20/2041 | 1336 | 1352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CD7341, 3.50%, 7/20/2047 | 4523 | 4211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0536, 3.00%, 3/20/2048 | 2694 | 2431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0538, 4.00%, 12/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0539, 4.50%, 1/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA6145, 3.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE3912, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4868 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0537, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI8475, 5.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC0977, 4.39%, 5/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785863, 3.09%, 12/20/2071 (a) | &nbsp;&nbsp;&nbsp; 12383 | &nbsp;&nbsp;&nbsp;&nbsp; 11132 |
| &nbsp;&nbsp;&nbsp; GNMA II, Single Family, 30 Year TBA, 6.00%, 12/15/2052 (b) | &nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 25514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $2,276,366)<br>|  | 2066500 |
| **Collateralized Mortgage Obligations — 17.3%** | **Collateralized Mortgage Obligations — 17.3%** | **Collateralized Mortgage Obligations — 17.3%** |
| &nbsp;&nbsp;&nbsp; Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7680 |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-J3, Class 4A1, 4.75%, 4/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 3.06%, 3/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 1.03%, 6/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.71%, 7/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 1.01%, 9/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.81%, 11/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A7, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-57CB, Class 3A2, IF, IO, 1.06%, 12/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-86CB, Class A11, 5.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7CB, Class 1A2, IF, IO, 1.26%, 5/25/2036 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26CB, Class A9, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp; American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust Series 2021-1, Class A1, 2.60%, 10/25/2026 (c) | &nbsp;&nbsp;&nbsp; 12762 | &nbsp;&nbsp;&nbsp;&nbsp; 11984 |
| &nbsp;&nbsp;&nbsp; ANTLR Mortgage Trust Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7999 |
| &nbsp;&nbsp;&nbsp; ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, PO, 3/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 1A1, 5.50%, 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 30, IO, 5.50%, 2/25/2035 ‡ | 84 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 30, PO, 8/25/2035 ‡ | 23 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | 97 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | 9 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 ‡ | 31 | 20 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-C, Class 3A1, 2.75%, 4/25/2033 (a) | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-J, Class 3A2, 3.37%, 11/25/2033 (a) | 52 | 48 |
| &nbsp;&nbsp;&nbsp; Baring Series 2021-EBO1, Class PA, IO, 0.00%, 4/22/2023 ‡ (a) | 4464 | 4352 |
| &nbsp;&nbsp;&nbsp; Bayview Finance LLC, 0.00%, 7/12/2033 ‡ | 4366 | 4300 |
| &nbsp;&nbsp;&nbsp; Bayview Financing Trust Series 2021-2F, Class M2, 4.79%, 1/10/2032 ‡ (a) (c) | 2504 | 2507 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 3A1, 3.57%, 7/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 3.48%, 10/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 12A1, 2.99%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 3.10%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 6.80%, 2/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-AC5, Class A1, 5.75%, 10/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MH1, Class M1, 2.99%, 2/25/2046 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-MH1, Class A, 4.25%, 8/25/2054 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6894 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-9, Class 1P, PO, 11/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HB4, Class A, 0.95%, 12/26/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB5, Class A, 0.80%, 2/25/2031 (a) (c) | &nbsp;&nbsp;&nbsp; 16981 | &nbsp;&nbsp;&nbsp;&nbsp; 16304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB5, Class M2, 1.85%, 2/25/2031 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8295 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 3.81%, 6/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 9A1, 3.09%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A3, 3.49%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 2A1, 3.65%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 7A1, 3.73%, 2/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, PO, 4/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A26, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 3.33%, 5/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 3.16%, 6/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 1A4, 5.50%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 3.87%, 11/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class A23, 5.50%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A52, IF, IO, 1.36%, 5/25/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class 1A1, 4.13%, 9/25/2033 (a) (c) | 79 | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (c) | 362 | 333 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class W2, PO, 6/25/2031 ‡ | 3 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class WA2, 6.50%, 6/25/2031 ‡ | 4 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 ‡ | 11 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | 13 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 3.91%, 8/25/2034 (a) | 17 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A3, 4.07%, 8/25/2034 (a) | 37 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 2.55%, 2/25/2035 (a) | 102 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.03%, 8/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class DB1, 6.66%, 2/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR15, Class 3A1, 3.73%, 6/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR2, Class 2A1, 2.62%, 3/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-29, Class 1A1, 6.50%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-29, Class 5A1, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A4, 5.50%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A4, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2X, IO, 5.50%, 6/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-RPL5, Class A1, 3.02%, 8/25/2060 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (c) | &nbsp;&nbsp; 11076 | &nbsp;&nbsp;&nbsp;&nbsp; 10367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6464 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 4.29%, 2/25/2020 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; Eserve At Bradbury aug 32, 5.60%, 8/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2737 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1470, Class F, 2.03%, 2/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1466, Class PZ, 7.50%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1518, Class G, IF, 4.68%, 5/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1798, Class F, 5.00%, 5/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1505, Class QB, IF, 12.81%, 5/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class J, 5.60%, 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1526, Class L, 6.50%, 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class O, 3.13%, 7/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1677, Class Z, 7.50%, 7/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1570, Class F, 2.79%, 8/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1552, Class IA, IF, 13.06%, 8/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1570, Class SA, HB, IF, 21.86%, 8/15/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1578, Class K, 6.90%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1578, Class V, IO, 7.00%, 9/15/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SK, IF, 17.80%, 9/15/2023 (a) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1591, Class PV, 6.25%, 10/15/2023 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1602, Class SA, IF, 11.66%, 10/15/2023 (a) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1813, Class I, PO, 11/15/2023 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1813, Class J, IF, IO, 2.75%, 11/15/2023 (a) | 48 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2720, Class PC, 5.00%, 12/15/2023 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1628, Class LZ, 6.50%, 12/15/2023 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1638, Class H, 6.50%, 12/15/2023 | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2283, Class K, 6.50%, 12/15/2023 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1644, Class K, 6.75%, 12/15/2023 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1658, Class GZ, 7.00%, 1/15/2024 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1865, Class D, PO, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1760, Class ZD, 3.62%, 2/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2756, Class NA, 5.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1671, Class QC, IF, 10.00%, 2/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1686, Class SH, IF, 11.56%, 2/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1699, Class FC, 4.01%, 3/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1695, Class EB, 7.00%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class SN, HB, IF, 25.62%, 3/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class K, PO, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class SE, IF, IO, 6.48%, 5/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1745, Class D, 7.50%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3614, Class QB, 4.00%, 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2967, Class S, IF, 12.52%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3022, Class SX, IF, 7.19%, 8/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1829, Class ZB, 6.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1863, Class Z, 6.50%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2470, Class SL, IF, 9.00%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1985, Class PR, IO, 8.00%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2065, Class PX, IO, 0.75%, 8/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2042, Class T, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2060, Class Z, 6.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2061, Class DC, IO, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2111, Class SB, IF, IO, 3.63%, 1/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2110, Class PG, 6.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2130, Class QS, 6.00%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class ZL, 6.50%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 14.22%, 3/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | 1 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class ZN, 8.50%, 4/15/2029 | 72 | 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | 4 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2178, Class PB, 7.00%, 8/15/2029 | 7 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2204, Class GB, 8.00%, 12/20/2029 (a) | 1 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | 46 | 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | 28 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | 26 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2254, Class Z, 9.00%, 9/15/2030 | 79 | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class ZD, 7.00%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2694, Class BA, 4.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2388, Class UZ, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2372, Class F, 4.37%, 10/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ZK, 6.00%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2368, Class AS, IF, 10.86%, 10/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2383, Class FD, 4.37%, 11/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2494, Class SX, IF, IO, 3.13%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.78%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class OE, 6.38%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 9.43%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2433, Class SA, IF, 10.86%, 2/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 4.08%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 4.13%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2431, Class F, 4.37%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2464, Class FE, 4.87%, 3/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3393, Class JO, PO, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2513, Class ZC, 5.50%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2517, Class Z, 5.50%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class FP, 4.87%, 1/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2557, Class HL, 5.30%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2611, Class SQ, IF, 5.25%, 5/15/2033 (a) | 19 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2631, Class SA, IF, 7.75%, 6/15/2033 (a) | 12 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 5.54%, 7/15/2033 (a) | 50 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2671, Class S, IF, 7.66%, 9/15/2033 (a) | 21 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2725, Class SC, IF, 3.42%, 11/15/2033 (a) | 15 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2722, Class PF, 4.47%, 12/15/2033 (a) | 546 | 544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2763, Class ZA, 6.00%, 3/15/2034 | 1959 | 2026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2779, Class ZC, 6.00%, 4/15/2034 | 1216 | 1263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2802, Class ZY, 6.00%, 5/15/2034 | 247 | 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class BT, IF, 7.00%, 5/15/2034 (a) | 550 | 548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class SL, IF, 10.29%, 6/15/2034 (a) | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | 109 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class MB, IF, 6.35%, 7/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3077, Class TO, PO, 4/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class WP, IF, 8.22%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3035, Class Z, 5.85%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OG, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3143, Class BC, 5.50%, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3152, Class MO, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3151, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3153, Class EO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3210, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3604, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 3.23%, 7/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, PO, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.83%, 10/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3237, Class AO, PO, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class DT, 7.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class ET, 7.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 2.27%, 1/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3262, Class SG, IF, IO, 2.53%, 1/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class MO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.31%, 2/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.58%, 3/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3288, Class GS, IF, 5.64%, 3/15/2037 (a) | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3373, Class TO, PO, 4/15/2037 | 78 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, Class JO, PO, 5/15/2037 | 10 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | 246 | 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3322, Class NS, IF, 7.00%, 5/15/2037 (a) | 417 | 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3371, Class FA, 4.47%, 9/15/2037 (a) | 27 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3385, Class SN, IF, IO, 2.13%, 11/15/2037 (a) | 43 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 2.55%, 11/15/2037 (a) | 122 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class AI, IO, 0.25%, 1/15/2038 (d) | 428 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 2.13%, 1/15/2038 (a) | 170 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3451, Class SA, IF, IO, 2.18%, 5/15/2038 (a) | 11 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3537, Class MI, IO, 5.00%, 6/15/2038 | 261 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class LZ, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.98%, 8/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3895, Class WA, 5.65%, 10/15/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 2.13%, 2/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 3.08%, 2/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SA, IF, IO, 2.43%, 5/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.07%, 7/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4580, Class PT, 6.77%, 8/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3572, Class JS, IF, IO, 2.93%, 9/15/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3795, Class EI, IO, 5.00%, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3623, Class LO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class BS, IF, 4.59%, 2/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3714, Class IP, IO, 5.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SC, IF, IO, 2.13%, 10/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class PY, 4.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class CY, 4.50%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3753, PO, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3770, Class PY, 5.00%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3860, Class PZ, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4015, Class MY, 3.50%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4136, Class HS, IF, 0.13%, 11/15/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4177, Class MQ, 2.50%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4274, Class EM, 4.00%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4280, Class EO, PO, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4281, Class OB, PO, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4377, Class JP, 3.00%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4456, Class SA, IF, IO, 2.28%, 3/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class SE, IF, IO, 2.31%, 6/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4888, Class AZ, 4.00%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4848, Class QY, 4.50%, 12/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4903, Class SN, IF, IO, 2.08%, 8/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1112 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5048, Class TI, IO, 3.00%, 11/25/2050 | 19772 | 3111 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 191, IO, 8.00%, 1/1/2028 | 236 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 197, PO, 4/1/2028 | 96 | 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | 130 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 12, IO, 5.00%, 9/15/2035 | 77 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | 180 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 239, Class S30, IF, IO, 3.83%, 8/15/2036 (a) | 248 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 262, Class 35, 3.50%, 7/15/2042 | 6667 | 6299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | 256 | 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | 896 | 712 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.42%, 7/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.02%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-42, Class A5, 7.50%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 1A, 6.50%, 9/25/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-62, Class 1A1, 2.89%, 10/25/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 563 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AA4, Class A1, 4.01%, 10/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.61%, 8/25/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W17, Class 1A7, 5.75%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 3F1, 4.42%, 5/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 1A1, 6.50%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 2A, 7.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.24%, 3/25/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 3A, 3.01%, 6/25/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 1A1, 6.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.24%, 2/25/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T7, Class A1, 7.50%, 2/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T12, Class A1, 6.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T12, Class A2, 7.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T10, PO, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A2, 7.00%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A3, 7.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T16, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T19, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T1, Class 1A1, 6.00%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class PT1, 9.75%, 1/25/2044 (a) | 122 | 129 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-1, Class KA, 7.90%, 1/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-27, Class S, IF, 3.73%, 2/25/2023 (a) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-25, Class J, 7.50%, 3/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-31, Class K, 7.50%, 3/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (a) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-54, Class Z, 7.00%, 4/25/2023 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-62, Class SA, IF, 9.36%, 4/25/2023 (a) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-43, Class SA, IF, IO, 12.43%, 4/25/2023 (a) | 1 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-97, Class FA, 5.27%, 5/25/2023 (a) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-162, Class F, 4.97%, 8/25/2023 (a) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-14, Class SE, IF, IO, 6.63%, 8/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-228, Class G, PO, 9/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SD, IF, 4.70%, 9/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-18, Class EC, PO, 10/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-179, Class SB, IF, 8.81%, 10/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-230, Class FA, 4.19%, 12/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class UD, IF, 10.44%, 12/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-26, Class J, PO, 1/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, IO, 4.50%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-37, Class L, 6.50%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G94-7, Class PJ, 7.50%, 5/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-53, Class NC, 5.50%, 7/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1995-2, Class Z, 8.50%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class HO, PO, 8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GI, IF, IO, 2.63%, 10/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GK, IF, 13.17%, 10/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G97-2, Class ZA, 8.50%, 2/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, IO, 1.84%, 3/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-24, Class Z, 8.00%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-46, Class Z, 7.50%, 6/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-30, Class ZA, 6.50%, 5/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-36, Class ZB, 6.00%, 7/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-7, Class FD, 4.72%, 4/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-60, Class FA, 4.77%, 2/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-60, Class FB, 4.77%, 2/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-4, Class ZA, 6.50%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-50, Class ZA, 6.00%, 5/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class LZ, 8.50%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-38, Class FB, 4.52%, 8/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | 19 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-53, Class FX, 4.37%, 10/25/2031 (a) | 145 | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.90%, 10/25/2031 (a) | 6 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | 75 | 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 8.11%, 12/25/2031 (a) | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 12.14%, 2/25/2032 (a) | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (a) | 71 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (a) | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-30, Class Z, 6.00%, 5/25/2032 | 108 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | 148 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class FH, 4.82%, 11/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-39, Class ZA, 6.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 7.12%, 12/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class F, 4.77%, 2/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-14, Class TI, IO, 5.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-44, Class IU, IO, 7.00%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.94%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class PI, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-86, Class ZA, 5.50%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.81%, 9/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-105, Class AZ, 5.50%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.58%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-122, Class ZJ, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-87, Class F, 4.77%, 1/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.50%, 1/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-131, Class SK, IF, 8.17%, 1/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class EP, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class PF, 4.42%, 3/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class H, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.48%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 5.46%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 7.94%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.48%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 6.21%, 7/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-44, Class B, 2.50%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class LO, PO, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-15, Class MO, PO, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-13, Class FL, 4.42%, 3/25/2035 (a) | 60 | 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class SK, IF, 9.09%, 5/25/2035 (a) | 75 | 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.69%, 7/25/2035 (a) | 150 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SV, IF, IO, 2.73%, 7/25/2035 (a) | 123 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-103, Class SC, IF, 3.73%, 7/25/2035 (a) | 175 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 7.33%, 7/25/2035 (a) | 67 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | 147 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 6.66%, 8/25/2035 (a) | 38 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, PO, 9/25/2035 | 40 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class AO, PO, 10/25/2035 | 16 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class OT, PO, 10/25/2035 | 86 | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | 77 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class ES, IF, 6.83%, 10/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 9.84%, 11/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WQ, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WN, IF, IO, 2.68%, 3/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class JO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PS, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.56%, 6/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FT, 4.77%, 7/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-63, Class ZH, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.48%, 8/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-78, Class BZ, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-86, Class OB, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-105, Class ME, 5.50%, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class OK, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GS, IF, IO, 2.63%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 3.23%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-120, Class PF, 4.27%, 12/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-120, IO, 6.50%, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class AC, 7.50%, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-126, Class AO, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class SD, IF, 14.90%, 2/25/2037 (a) | 33 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class OP, PO, 3/25/2037 | 66 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 2.06%, 3/25/2037 (a) | 18 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.42%, 3/25/2037 (a) | 2254 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.77%, 3/25/2037 (a) | 25 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-63, Class P, 5.00%, 3/25/2037 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-18, Class MZ, 6.00%, 3/25/2037 | 197 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-39, Class EF, 4.27%, 5/25/2037 (a) | 24 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-46, Class ZK, 5.50%, 5/25/2037 | 214 | 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class WI, IF, IO, 2.08%, 6/25/2037 (a) | 220 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class EK, IF, IO, 2.38%, 7/25/2037 (a) | 598 | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-65, Class KI, IF, IO, 2.60%, 7/25/2037 (a) | 121 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 3.13%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class ZG, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class CB, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 9.29%, 8/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.52%, 9/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class OT, PO, 10/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-100, Class SM, IF, IO, 2.43%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.44%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class SA, IF, IO, 2.43%, 12/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 0.99%, 1/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.89%, 2/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-12, Class CO, PO, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.18%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.21%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-20, Class SA, IF, IO, 2.97%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class UA, 7.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class SA, IF, IO, 2.83%, 4/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.88%, 4/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 3.18%, 7/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-47, Class ZA, 5.50%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.83%, 9/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.83%, 9/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class GP, 6.25%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.53%, 2/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-4, Class BD, 4.50%, 2/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-17, Class QS, IF, IO, 2.63%, 3/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-62, Class HJ, 6.00%, 5/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-52, Class PI, IO, 5.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-47, Class MT, 7.00%, 7/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, PO, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-84, Class WS, IF, IO, 1.88%, 10/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-92, Class AD, 6.00%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 2.16%, 12/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 3.32%, 12/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class WA, 6.30%, 12/25/2039 (a) | 280 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class ST, IF, IO, 2.23%, 1/25/2040 (a) | 151 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-113, Class FB, 4.57%, 1/25/2040 (a) | 113 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-23, Class KS, IF, IO, 3.08%, 2/25/2040 (a) | 112 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class WA, 6.22%, 2/25/2040 (a) | 484 | 499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 4.63%, 3/25/2040 (a) | 159 | 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WB, 6.16%, 3/25/2040 (a) | 1023 | 1055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WA, 6.44%, 3/25/2040 (a) | 453 | 466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SB, IF, IO, 2.40%, 4/25/2040 (a) | 123 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-40, Class FJ, 4.62%, 4/25/2040 (a) | 62 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-42, Class S, IF, IO, 2.38%, 5/25/2040 (a) | 61 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class FD, 4.62%, 5/25/2040 (a) | 190 | 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-61, Class WA, 6.00%, 6/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-68, Class SA, IF, IO, 0.98%, 7/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class ME, 4.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-111, Class AM, 5.50%, 10/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-125, Class SA, IF, IO, 0.42%, 11/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-123, Class FL, 4.45%, 11/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CY, 4.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.51%, 1/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-20, Class MW, 5.00%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.56%, 4/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.57%, 8/25/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class LB, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class LZ, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4, Class AJ, 3.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11, Class LA, 3.50%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-63, Class DA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-68, Class DZ, 4.00%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20, Class H, 3.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-32, Class SD, IF, IO, 2.03%, 6/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class SB, IF, IO, 2.08%, 11/25/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-11, Class JW, 3.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-36, Class SH, IF, IO, 2.03%, 6/25/2050 (a) | &nbsp;&nbsp;&nbsp; 13342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-61, Class SB, IF, IO, 0.18%, 9/25/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.88%, 2/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-43, Class WA, 5.84%, 5/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-58, Class WA, 5.50%, 7/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-21, Class WA, 5.61%, 3/25/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 671 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W4, Class A7, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W2, Class 1A1, 4.34%, 3/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W3, Class 1A3, 6.75%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 15.08%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-W3, Class A, 7.00%, 9/25/2041 (a) | 269 | 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W10, IO, 0.92%, 8/25/2042 (a) | 1209 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.21%, 10/25/2042 (a) | 19 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.84%, 12/25/2042 (a) | 136 | 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.31%, 12/25/2042 (a) | 90 | 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W11, Class 1A1, 6.00%, 5/25/2044 | 296 | 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 2A, 6.00%, 9/25/2046 | 100 | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 1AF1, 4.26%, 10/25/2046 (a) | 70 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | 458 | 467 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 3.96%, 6/27/2036 (a) | 169 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.42%, 6/25/2037 (a) | 70 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-64, Class FB, 4.39%, 7/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.24%, 10/25/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class A1, 6.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 213, Class 2, IO, 8.00%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, Class 2, IO, 7.50%, 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 265, Class 2, 9.00%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 300, Class 1, PO, 9/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 293, Class 1, PO, 12/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 285, Class 1, PO, 2/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 331, Class 13, IO, 7.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 351, Class 7, IO, 5.00%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 356, Class 3, IO, 5.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 373, Class 1, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 32, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; Forest Park Mhc sep 32, 5.02%, 9/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1042 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-4, Class ZB, 6.00%, 2/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 4.36%, 8/16/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-41, Class ID, IO, 5.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-90, PO, 10/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-41, Class WA, 5.83%, 10/20/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.66%, 12/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.97%, 4/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class AO, PO, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class WA, 5.68%, 8/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-73, Class JL, IF, IO, 2.66%, 9/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.16%, 10/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 7.07%, 6/17/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 347 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (a) | 534 | 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 2.36%, 9/20/2035 (a) | 335 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class AZ, 5.50%, 9/20/2035 | 335 | 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-85, IO, 5.50%, 11/16/2035 | 143 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class BO, PO, 11/20/2035 | 68 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | 60 | 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 5/20/2036 | 41 | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class SW, IF, IO, 2.56%, 6/20/2036 (a) | 17 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-34, PO, 7/20/2036 | 34 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.76%, 10/20/2036 (a) | 53 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.89%, 2/20/2037 (a) | 776 | 800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, PO, 3/20/2037 | 70 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.92%, 4/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class AW, 5.93%, 4/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-31, Class AO, PO, 5/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FN, 4.19%, 5/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 2.26%, 5/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class HO, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.58%, 6/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SG, IF, IO, 2.53%, 6/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.70%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SD, IF, IO, 2.81%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class SB, IF, IO, 2.81%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 8.39%, 9/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-74, Class SL, IF, IO, 2.65%, 11/16/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SA, IF, IO, 2.59%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.61%, 12/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class MS, IF, IO, 3.27%, 1/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, PO, 1/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-137, Class WA, 5.55%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-13, Class PI, IO, 5.50%, 2/16/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class S, IF, IO, 1.89%, 2/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 2.06%, 2/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.81%, 4/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 2.36%, 4/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-52, Class WA, 6.19%, 4/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.51%, 5/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.26%, 6/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-62, Class SA, IF, IO, 2.21%, 7/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 2.06%, 8/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-59, Class WA, 5.58%, 8/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.66%, 9/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-97, Class WA, 6.11%, 11/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.76%, 12/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-96, Class SL, IF, IO, 2.06%, 12/20/2038 (a) | 98 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-95, Class DS, IF, IO, 3.36%, 12/20/2038 (a) | 321 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-163, Class WA, 5.89%, 12/20/2038 (a) | 866 | 898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.21%, 2/16/2039 (a) | 95 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class SA, IF, IO, 2.01%, 2/20/2039 (a) | 171 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 | 528 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | 118 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | 139 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | 40 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | 92 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 2.01%, 6/20/2039 (a) | 115 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class SC, IF, IO, 2.14%, 6/20/2039 (a) | 211 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-64, Class SN, IF, IO, 2.21%, 7/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-54, Class JZ, 5.50%, 7/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-67, Class SA, IF, IO, 2.16%, 8/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 2.36%, 8/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-104, Class AB, 7.00%, 8/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class AS, IF, IO, 2.51%, 11/16/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class W, 5.25%, 5/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.12%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.59%, 7/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-187, Class WA, 3.76%, 7/16/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-100, Class MY, 4.00%, 7/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-24, Class WA, 5.58%, 7/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class AK, 4.68%, 9/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.55%, 10/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WA, 4.52%, 11/16/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.73%, 1/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WB, 4.02%, 9/16/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-138, Class PT, 3.97%, 11/16/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.88%, 11/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-99, Class PT, 6.02%, 8/20/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-103, Class WA, 4.27%, 6/20/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-31, Class HC, 3.50%, 5/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-160, Class PA, 3.50%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-90, Class LI, IO, 4.00%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-31, Class TS, IF, IO, 2.11%, 3/20/2049 (a) | &nbsp;&nbsp; 18640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-111, IO, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class ST, IF, IO, 2.11%, 5/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8741 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class IH, IO, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-112, Class GS, IF, IO, 2.13%, 9/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-112, Class SG, IF, IO, 2.16%, 9/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-152, Class SB, IF, IO, 2.78%, 12/20/2049 (a) | &nbsp;&nbsp; 20529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-47, Class AI, IO, 4.50%, 4/16/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-85, Class IA, IO, 4.50%, 6/20/2050 | &nbsp;&nbsp; 22814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-95, Class HI, IO, 4.00%, 7/20/2050 | &nbsp;&nbsp; 11039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1919 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-97, Class AI, IO, 4.75%, 7/20/2050 | 11167 | 2099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-97, Class IA, IO, 5.00%, 7/20/2050 | 14721 | 2624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-122, Class HI, IO, 3.00%, 8/20/2050 | 22549 | 3225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-112, Class GI, IO, 4.50%, 8/20/2050 | 11770 | 1819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class EI, IO, 3.00%, 9/20/2050 | 18403 | 2820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-134, Class IH, IO, 3.00%, 9/20/2050 | 25152 | 3556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-149, Class SH, IF, IO, 3.06%, 10/20/2050 (a) | 22714 | 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-149, Class TS, IF, IO, 3.06%, 10/20/2050 (a) | 19374 | 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-16, Class JI, IO, 3.00%, 12/20/2050 | 25047 | 3545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-189, Class JI, IO, 3.50%, 12/20/2050 | 14819 | 2489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15, Class EI, IO, 2.50%, 1/20/2051 | 21949 | 2514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-27, Class TI, IO, 3.00%, 2/20/2051 | 15463 | 2060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-69, Class CI, IO, 3.50%, 4/20/2051 | &nbsp;&nbsp; 10931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-226, Class ZH, 3.00%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 3.57%, 4/20/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 3.44%, 8/20/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 3.54%, 2/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class MA, 3.69%, 4/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FC, 3.71%, 4/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H02, Class HF, 3.44%, 11/20/2062 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class JA, 3.46%, 1/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class SA, 3.56%, 2/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class BF, 3.54%, 3/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 3.55%, 3/20/2063 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H09, Class HA, 1.65%, 4/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H24, Class FA, 3.79%, 9/20/2065 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H11, Class FD, 2.57%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H13, Class FT, 3.72%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H13, Class FD, 4.32%, 5/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H16, Class FC, 3.16%, 7/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H23, Class F, 3.89%, 10/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H26, Class FC, 4.14%, 12/20/2066 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H05, Class FC, 3.18%, 2/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 1.90%, 3/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H11, Class XI, IO, 1.41%, 5/20/2067 (a) | &nbsp;&nbsp; 10322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class XI, IO, 1.23%, 6/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class AI, IO, 1.56%, 6/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11, Class GI, IO, 3.34%, 7/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H16, Class F, 3.61%, 8/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H17, Class FQ, 3.98%, 9/20/2067 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H25, Class HI, IO, 2.11%, 10/20/2067 (a) | &nbsp;&nbsp; 18340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H04, Class FE, 1.00%, 2/20/2068 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H13, Class DF, 3.58%, 7/20/2068 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H18, Class AI, IO, 0.51%, 9/20/2068 (a) | &nbsp;&nbsp; 52334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H09, Class IB, IO, 1.81%, 4/20/2069 (a) | &nbsp;&nbsp; 11407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class IE, IO, 1.65%, 5/20/2069 (a) | &nbsp;&nbsp; 33168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H10, Class IB, IO, 2.10%, 5/20/2069 (a) | &nbsp;&nbsp; 16293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H12, Class JI, IO, 2.09%, 7/20/2069 (a) | &nbsp;&nbsp; 15431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class KI, IO, 2.32%, 7/20/2069 (a) | 10574 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H15, Class IJ, IO, 2.30%, 8/20/2069 (a) | 11216 | 488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H18, Class CI, IO, 0.38%, 10/20/2069 (a) | 22401 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H18, Class KI, IO, 2.40%, 11/20/2069 (a) | 12942 | 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H02, Class DI, IO, 2.32%, 12/20/2069 (a) | 14284 | 503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H05, IO, 0.02%, 3/20/2070 (a) | 21754 | 1381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H07, Class DI, IO, 0.01%, 4/20/2070 (a) | 28839 | 1429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class IE, IO, 0.23%, 5/20/2070 (a) | 9474 | 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H17, Class IJ, IO, 0.44%, 10/20/2070 (a) | 11296 | 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H17, Class IK, IO, 0.68%, 10/20/2070 (a) | 43552 | 1652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H01, Class AI, IO, 0.14%, 11/20/2070 (a) | 83595 | 3198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H22, Class IH, IO, 0.01%, 12/20/2070 (a) | 11153 | 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H22, Class JI, IO, 0.01%, 12/20/2070 (a) | 120472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H01, Class DI, IO, 1.71%, 12/20/2070 (a) | &nbsp;&nbsp; 27512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H21, Class FL, 2.59%, 12/20/2070 (a) | &nbsp;&nbsp; 14209 | &nbsp;&nbsp;&nbsp;&nbsp; 13979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class IJ, IO, 0.01%, 1/20/2071 (a) | 121376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class HI, IO, 1.04%, 1/20/2071 (a) | &nbsp;&nbsp; 49898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class JI, IO, 1.19%, 1/20/2071 (a) | &nbsp;&nbsp; 27012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class IH, IO, 1.28%, 1/20/2071 (a) | &nbsp;&nbsp; 17413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H02, Class TF, 2.59%, 1/20/2071 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IE, IO, 0.01%, 2/20/2071 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IP, IO, 0.01%, 2/20/2071 (a) | &nbsp;&nbsp; 41958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class PI, IO, 0.01%, 2/20/2071 (a) | &nbsp;&nbsp; 33224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H05, Class IQ, IO, 0.01%, 2/20/2071 (a) | &nbsp;&nbsp; 84459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class IN, IO, 1.14%, 2/20/2071 (a) | &nbsp;&nbsp; 51719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class NI, IO, 1.27%, 2/20/2071 (a) | &nbsp;&nbsp; 27317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H03, Class TI, IO, 1.34%, 2/20/2071 (a) | &nbsp;&nbsp; 35053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H05, Class QI, IO, 0.95%, 3/20/2071 (a) | 115001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, Class IA, IO, 1.00%, 3/20/2071 (a) | &nbsp;&nbsp; 18597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, Class LF, 4.89%, 3/20/2071 (a) | &nbsp;&nbsp; 44859 | &nbsp;&nbsp;&nbsp;&nbsp; 45740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, Class QI, IO, 0.88%, 4/20/2071 (a) | &nbsp;&nbsp; 41850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H06, IO, 1.36%, 4/20/2071 (a) | &nbsp;&nbsp; 76452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H14, Class IY, IO, 0.67%, 9/20/2071 (a) | &nbsp;&nbsp; 72109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1469 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 854 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, 4.44%, 6/25/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.39%, 3/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 0.53%, 9/25/2035 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.39%, 9/25/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 1AS2, IF, IO, 2.50%, 4/25/2036 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7F, Class 1A4, 5.25%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-13, Class 1A1, 4.12%, 10/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3F, Class 3A8, 13.50%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5F, Class 8A3, 4.54%, 6/25/2035 (a) | 26 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | 295 | 280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 1AP, PO, 2/25/2036 ‡ | 47 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | 1220 | 635 |
| &nbsp;&nbsp;&nbsp; He Paddocks of Sar nov 32, 5.14%, 11/1/2032 (b) | 4000 | 4121 |
| &nbsp;&nbsp;&nbsp; Home RE Ltd. (Bermuda) Series 2021-2, Class M1B, 5.15%, 1/25/2034 ‡ (a) (c) | 3095 | 3013 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-2, Class 2M1, 4.82%, 4/25/2035 ‡ (a) | 31 | 26 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2001-8, Class A6, 6.44%, 1/25/2032 | 212 | 210 |
| &nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust Series 2006-AR3, Class 2A1A, 3.07%, 3/25/2036 (a) | 73 | 51 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A2, 4.19%, 11/25/2033 (a) | 84 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 4.19%, 11/25/2033 (a) | 146 | 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A3, Class 4A1, 3.63%, 7/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 3.75%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class 1A1, 3.93%, 9/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S1, Class 1A7, 5.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 3.53%, 2/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A2, 3.35%, 7/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS1, Class A1, 2.88%, 10/25/2059 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3409 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3621 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.91%, 4/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A8, 6.00%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-RTL1, Class A1, 3.23%, 10/25/2024 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4528 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 4.03%, 4/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 2.69%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A1, 3.60%, 5/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 3A7, 3.87%, 11/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 3.44%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 2A1, 6.25%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 30, PO, 4/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 30X1, IO, 6.00%, 4/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 30, PO, 6/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 30X1, IO, 6.00%, 6/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30X1, IO, 5.50%, 7/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class AX1, IO, 5.50%, 8/25/2034 ‡ | 94 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class AX2, IO, 6.00%, 4/25/2035 ‡ | 703 | 109 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-11, Class 15, PO, 12/25/2018 ‡ |  | &nbsp;&nbsp; —(e) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 6A1, 5.00%, 12/25/2033 | 37 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-P7, Class A6, 5.50%, 12/27/2033 (c) | 44 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 ‡ | 5 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, PO, 3/25/2034 ‡ | 3 | 2 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.39%, 5/25/2035 (a) (c) | 1178 | 625 |
| &nbsp;&nbsp;&nbsp; Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (c) | 47 | 29 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A, Class 2A2, 4.39%, 3/25/2028 (a) | 36 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.66%, 10/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 4.68%, 10/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-D, Class A2, 4.29%, 9/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-E, Class A2A, 4.88%, 11/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class 2A6, 3.31%, 8/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class A2, 3.52%, 8/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 3.01%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust MLMI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A4, Class 2A, 3.65%, 7/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A, 3.58%, 12/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A1, 2.91%, 4/28/2066 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6801 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp; MortgageIT Trust Series 2005-5, Class A1, 4.56%, 12/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; MRA Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO2, Class A, 4.35%, 4/5/2023 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9521 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A5, 7.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2, PO, 10/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1, 2.12%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp; 10669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4515 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-QS16, Class A3, IF, 8.22%, 10/25/2017 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS12, Class A2A, IF, IO, 4.01%, 6/25/2018 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(e) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(e) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA4, Class NB3, 4.70%, 9/25/2034 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA6, Class NB2, 3.32%, 12/26/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA6, Class A32, 4.26%, 5/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA10, Class A31, 4.39%, 9/25/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QS1, Class 1A1, 6.00%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class A1, 5.50%, 6/25/2033 | 86 | 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-IP2, Class 1A1, 4.19%, 12/25/2034 (a) | 235 | 233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A16, Class AX, IO, 5.75%, 2/25/2036 ‡ | 439 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A6, Class 2A13, 6.00%, 7/25/2036 | 181 | 101 |
| &nbsp;&nbsp;&nbsp; Rillion Capital Iii Frn, 7.25%, 11/15/2024 ‡ | 8051 | 8051 |
| &nbsp;&nbsp;&nbsp; RMF Buyout Issuance Trust Series 2020-HB1, Class M3, 4.75%, 10/25/2050 ‡ (a) (c) | 3300 | 2760 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 13755 | 12970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 13780 | 13066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class MT, 3.50%, 6/25/2057 ‡ | 2508 | 2267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3, Class M55D, 4.00%, 8/25/2057 ‡ (a) | 9388 | 8946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2, Class M55D, 4.00%, 11/25/2057 | &nbsp;&nbsp;&nbsp; 11034 | &nbsp;&nbsp;&nbsp;&nbsp; 10594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M55D, 4.00%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 3189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M55D, 4.00%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 3883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class M55D, 4.00%, 2/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 2532 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 4316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class M5TW, 3.00%, 5/25/2060 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 6854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MBU, 3.25%, 11/25/2061 ‡ | &nbsp;&nbsp;&nbsp; 10137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7867 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 1A, 4.70%, 4/20/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A2, 4.25%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A1, 4.64%, 9/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class A1, 4.62%, 10/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class A1A, 4.56%, 11/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR5, Class 1A1, 4.60%, 10/19/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A3, 4.44%, 7/19/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34A, Class 3A3, 3.96%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 3.72%, 12/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 4.68%, 9/25/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class II2A, 1.73%, 3/25/2044 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M2, 4.25%, 2/25/2059 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A1, 2.92%, 11/30/2060 (a) (c) | &nbsp;&nbsp;&nbsp; 14663 | &nbsp;&nbsp;&nbsp;&nbsp; 11837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (c) | &nbsp;&nbsp;&nbsp; 10250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9622 |
| &nbsp;&nbsp;&nbsp; TVC Mortgage Trust Series 2020-RTL1, Class A1, 3.47%, 9/25/2024 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2189 |
| &nbsp;&nbsp;&nbsp; Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023 (a) | &nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp; 27000 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1391 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S1, Class A5, 5.50%, 4/25/2033 | 125 | 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S3, Class 1A4, 5.50%, 6/25/2033 | 33 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR7, Class A7, 3.80%, 8/25/2033 (a) | 124 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR8, Class A, 4.16%, 8/25/2033 (a) | 94 | 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 4.13%, 9/25/2033 (a) | 329 | 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 4.17%, 9/25/2033 (a) | 44 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 ‡ | 4 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR11, Class A6, 4.23%, 10/25/2033 (a) | 237 | 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | 237 | 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 3.10%, 6/25/2034 (a) | 19 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (a) | 129 | 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 3.57%, 9/25/2036 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 1.01%, 4/25/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11, Class A4, IF, IO, 0.91%, 1/25/2036 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2004-RA2, Class 2A, 7.00%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-U, Class A1, 4.02%, 10/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $763,842)<br>|  | &nbsp;&nbsp;&nbsp; 668159 |
| **Asset-Backed Securities — 13.7%** | **Asset-Backed Securities — 13.7%** | **Asset-Backed Securities — 13.7%** |
| &nbsp;&nbsp;&nbsp; Accelerated Assets LLC Series 2018-1, Class B, 4.51%, 12/2/2033 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1200 |
| &nbsp;&nbsp;&nbsp; Accelerated LLC Series 2021-1H, Class C, 2.35%, 10/20/2040 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4507 |
| &nbsp;&nbsp;&nbsp; ACRE Commercial Mortgage Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL4, Class A, 4.77%, 12/18/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL4, Class B, 5.34%, 12/18/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1922 |
| &nbsp;&nbsp;&nbsp; American Homes 4 Rent Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class D, 5.04%, 12/17/2036 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class D, 4.41%, 4/17/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR2, Class D, 5.04%, 10/17/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR2, Class E, 6.07%, 10/17/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4090 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class E1, 2.56%, 9/17/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR5, Class D, 2.18%, 11/17/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 4.00%, 10/17/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6783 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2022-SFR1, 4.45%, 11/17/2037 (c) | 4000 | 3635 |
| &nbsp;&nbsp;&nbsp; BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 ‡ (c) | 6763 | 6270 |
| &nbsp;&nbsp;&nbsp; Camillo Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡ | 3673 | 3641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SFR1, Class A, 5.25%, 6/5/2028 ‡ (c) | 2694 | 2672 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (c) | 1134 | 999 |
| &nbsp;&nbsp;&nbsp; CARS-DB4 LP Series 2020-1A, Class B1, 4.17%, 2/15/2050 ‡ (c) | 11500 | 10481 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-3, Class 1A5, 5.91%, 6/25/2032 ‡ (d) | 462 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 1A5, 4.89%, 5/25/2033 ‡ (d) | 258 | 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A7, 4.88%, 11/25/2034 ‡ (d) | 164 | 161 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2, Class M, 5.60%, 12/25/2027 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.42%, 6/15/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class XB, IO, 1.56%, 10/15/2052 (a) (c) | &nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class XA, IO, 2.20%, 10/15/2052 (a) (c) | &nbsp;&nbsp;&nbsp; 13478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.57%, 4/15/2053 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3541 |
| &nbsp;&nbsp;&nbsp; Diamond Resorts Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.19%, 1/21/2031 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 2.89%, 2/20/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class B, 3.53%, 2/20/2032 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 4.02%, 2/20/2032 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.51%, 11/21/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 11/21/2033 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 2.70%, 11/21/2033 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3849 |
| &nbsp;&nbsp;&nbsp; E3 (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class B, 4.15%, 9/20/2055 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class C, 5.00%, 9/20/2055 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (c) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 (c) | &nbsp;&nbsp;&nbsp; 11712 | &nbsp;&nbsp;&nbsp;&nbsp; 10032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.00%, 5/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2522 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 2/25/2024 (a) (c) | &nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp; 13222 | &nbsp;&nbsp;&nbsp;&nbsp; 10635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class B, 4.44%, 10/25/2026 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (c) | &nbsp;&nbsp;&nbsp; 11900 | &nbsp;&nbsp;&nbsp;&nbsp; 10507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class A, 7.90%, 7/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class B, 10.07%, 7/25/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1344 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust Series 2001-W4, Class AF6, 5.11%, 1/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7419 |
| &nbsp;&nbsp;&nbsp; Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1457 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Harvest SBA Loan Trust Series 2021-1, Class A, 5.36%, 4/25/2048 (a) (c) | 4269 | 4188 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (c) | 702 | 648 |
| &nbsp;&nbsp;&nbsp; HERO Funding II (Cayman Islands) Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (c) | 573 | 548 |
| &nbsp;&nbsp;&nbsp; HERO Funding III (Cayman Islands) Series 2017-1A, Class A, 3.50%, 9/21/2043 (c) | 574 | 520 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class A, 3.84%, 9/21/2040 (c) | 17 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2A, Class A, 3.75%, 9/20/2041 (c) | 675 | 656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 (c) | 427 | 398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A1, 3.57%, 9/20/2047 (c) | 1369 | 1290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A2, 4.29%, 9/20/2047 (c) | 1369 | 1300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 (c) | 642 | 608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A1, 3.28%, 9/20/2048 (c) | 957 | 885 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1D, Class C, 4.69%, 6/20/2034 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2086 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 5.57%, 1/25/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class B, 4.22%, 2/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2074 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| &nbsp;&nbsp;&nbsp; HIN Timeshare Trust Series 2020-A, Class B, 2.23%, 10/9/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1704 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 2.91%, 9/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3903 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class E, 3.60%, 9/17/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3007 |
| &nbsp;&nbsp;&nbsp; KGS-Alpha SBA COOF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-3, Class A, IO, 0.99%, 9/25/2026 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4, Class A, IO, 0.95%, 9/25/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-6, Class A, IO, 0.56%, 5/25/2039 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 3.03%, 7/25/2041 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; LFT CRE Ltd. Series 2021-FL1, Class C, 5.83%, 6/15/2039 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7664 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust Series 2004-1, Class M1, 4.79%, 2/25/2034 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp; Madison Avenue Manufactured Housing Contract Trust Series 2002-A, 0.30%, 3/25/2032 ‡ | &nbsp;&nbsp;&nbsp; 33144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987 |
| &nbsp;&nbsp;&nbsp; MVW LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class B, 2.73%, 10/20/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 4.21%, 10/20/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1WA, Class B, 1.44%, 1/22/2041 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1WA, Class C, 1.94%, 1/22/2041 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 7.62%, 10/21/2041 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5052 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.83%, 11/25/2033 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5314 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (c) | &nbsp;&nbsp;&nbsp; 10530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (c) | &nbsp;&nbsp;&nbsp; 10716 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (c) | &nbsp;&nbsp;&nbsp; 10444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9197 |
| &nbsp;&nbsp;&nbsp; NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4324 |
| &nbsp;&nbsp;&nbsp; Orange Lake Timeshare Trust Series 2019-A, Class C, 3.61%, 4/9/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2010 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust Series 2022-1, Class C, 4.25%, 8/25/2025 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6040 |
| &nbsp;&nbsp;&nbsp; PFP Ltd. (Cayman Islands) Series 2021-7, Class B, 5.30%, 4/14/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6616 |
| &nbsp;&nbsp;&nbsp; PRET LLC Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp; 10161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8917 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Pretium Mortgage Credit Partners I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (c) (d) | 6356 | 5739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (c) (d) | 3688 | 3309 |
| &nbsp;&nbsp;&nbsp; Pretium Mortgage Credit Partners LLC Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 ‡ (c) (d) | 4117 | 3705 |
| &nbsp;&nbsp;&nbsp; Progress Residential |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 1.81%, 4/17/2038 ‡ (c) | 4000 | 3347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class E2, 2.56%, 5/17/2038 ‡ (c) | 3458 | 2865 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 | 9000 | 7731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR3, Class E, 3.37%, 9/17/2036 ‡ (c) | 12690 | 11871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR4, Class E, 3.44%, 10/17/2036 ‡ (c) | 1325 | 1241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class E, 3.03%, 4/17/2037 (c) | 6390 | 5804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class D, 2.20%, 4/19/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E2, 2.53%, 10/17/2038 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 4.45%, 4/17/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (c) | &nbsp;&nbsp; 11870 | &nbsp;&nbsp;&nbsp;&nbsp; 10364 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.67%, 9/20/2052 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class B, 5.75%, 9/20/2052 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; Repo Buyer Series 2019-PC, 6.85%, 8/15/2024 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5499 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5231 |
| &nbsp;&nbsp;&nbsp; Repo Buyer RRI Trust, 3.06%, 4/14/2055 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2426 |
| &nbsp;&nbsp;&nbsp; RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 575 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class C, 4.17%, 9/20/2035 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 3.77%, 1/20/2036 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class B, 2.75%, 8/20/2036 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 1.79%, 11/20/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.63%, 7/20/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.36%, 6/20/2040 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5419 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A2, 3.45%, 2/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5193 |
| &nbsp;&nbsp;&nbsp; VCAT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 ‡ (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 9295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8448 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp; 10257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9641 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3554 |
| &nbsp;&nbsp;&nbsp; VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2699 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (c) (d) | &nbsp;&nbsp; 10142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9080 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (c) (d) | &nbsp;&nbsp; 13274 | &nbsp;&nbsp;&nbsp;&nbsp; 11748 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (c) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6628 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (c) (d) | 4308 | 4011 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (c) (d) | 8305 | 7390 |
| &nbsp;&nbsp;&nbsp; VSE VOI Mortgage LLC Series 2018-A, Class A, 3.56%, 2/20/2036 (c) | 314 | 304 |
| &nbsp;&nbsp;&nbsp; Welk Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-AA, Class A, 2.80%, 6/15/2038 (c) | 1551 | 1491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (c) | 1534 | 1468 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 6.21%, 3/20/2034 ‡ (c) | 1670 | 1646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 2.29%, 8/20/2036 ‡ (c) | 2872 | 2698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $576,171)<br>|  | &nbsp;&nbsp;&nbsp; 529475 |
| **Commercial Mortgage-Backed Securities — 9.5%** | **Commercial Mortgage-Backed Securities — 9.5%** | **Commercial Mortgage-Backed Securities — 9.5%** |
| &nbsp;&nbsp;&nbsp; Acrc Series TL-2021A3.75%, 11/15/2026 ‡ (c) | 10000 | 9325 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1847 |
| &nbsp;&nbsp;&nbsp; BAMLL Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-FRR5, Class AK30, PO, 6/27/2045 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-FRR8, Class A, 2.03%, 11/26/2047 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7990 |
| &nbsp;&nbsp;&nbsp; BB-UBS Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-SHOW, Class E, 4.16%, 11/5/2036 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3128 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 ‡ (a) (c) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8768 |
| &nbsp;&nbsp;&nbsp; CCH II Series 2021-1 A, Class A, 5.13%, 12/15/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 8074 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7671 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SBX, Class D, 2.40%, 1/10/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-CR9, Class XB, IO, 0.22%, 7/10/2045 ‡ (a) (c) | 134416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp; CSMC OA LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class A2, 3.95%, 9/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1305 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust Series 2015-LCM, Class A1, 3.00%, 6/10/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp; FHLMC Multi-Family ML Certificates Series 2021-ML09, Class XUS, IO, 1.55%, 2/25/2040 (a) (c) | &nbsp;&nbsp;&nbsp; 56675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7515 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 5.55%, 1/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5177 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class XPT1, IO, 1.66%, 5/25/2025 (a) | &nbsp;&nbsp;&nbsp; 49650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class XPT2, IO, 1.81%, 5/25/2027 (a) | &nbsp;&nbsp;&nbsp; 45044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K065, Class AM, 3.33%, 5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K740, Class XAM, IO, 1.20%, 10/25/2027 (a) | &nbsp;&nbsp;&nbsp; 33000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K077, Class AM, 3.85%, 5/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KL06, Class XFX, IO, 1.47%, 12/25/2029 (a) | &nbsp;&nbsp;&nbsp; 53095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K128, Class XAM, IO, 0.83%, 3/25/2031 (a) | &nbsp;&nbsp;&nbsp; 26300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K137, Class AM, 1.98%, 12/25/2031 (a) | &nbsp;&nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp; 10211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K142, Class A2, 2.40%, 3/25/2032 | &nbsp;&nbsp;&nbsp; 14100 | &nbsp;&nbsp;&nbsp;&nbsp; 12024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1518, Class X1, IO, 0.96%, 10/25/2035 (a) | 128575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1520, Class X1, IO, 0.58%, 2/25/2036 ‡ (a) | &nbsp;&nbsp;&nbsp; 98156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 6/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K145, Class A2, 2.58%, 6/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3677 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M2, Class AV2, 2.15%, 1/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M3, Class A2, 3.50%, 1/25/2024 (a) | 560 | 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M7, Class A2, 2.59%, 12/25/2024 | 814 | 779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M2, Class A3, 3.11%, 12/25/2024 (a) | 1619 | 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.55%, 12/25/2026 (a) | 1434 | 1329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M7, Class A2, 3.14%, 3/25/2028 (a) | 4042 | 3810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A1, 3.47%, 7/25/2028 (a) | 346 | 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M39, Class 1A1, 0.75%, 9/25/2028 | 8151 | 7172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M1, Class A2, 3.67%, 9/25/2028 (a) | 4152 | 3973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class 2A1, 1.59%, 11/25/2028 | 892 | 774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class X2, IO, 2.10%, 11/25/2028 (a) | 5189 | 380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M11, IO, 1.87%, 1/25/2029 (a) | 78632 | 6629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.17%, 2/25/2030 (a) | 1105 | 1018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M39, Class X1, IO, 2.09%, 7/25/2030 (a) | &nbsp;&nbsp;&nbsp; 48335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A1, 0.67%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M49, Class 1A1, 1.30%, 11/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M4, Class A1, 0.96%, 2/25/2031 | &nbsp;&nbsp;&nbsp; 16026 | &nbsp;&nbsp;&nbsp;&nbsp; 13779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1G, Class A2, 1.58%, 9/25/2031 (a) | &nbsp;&nbsp;&nbsp; 17600 | &nbsp;&nbsp;&nbsp;&nbsp; 14030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M3, Class A2, 1.76%, 11/25/2031 (a) | &nbsp;&nbsp;&nbsp; 18900 | &nbsp;&nbsp;&nbsp;&nbsp; 15173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M10, Class A2, 2.00%, 1/25/2032 (a) | &nbsp;&nbsp;&nbsp; 24000 | &nbsp;&nbsp;&nbsp;&nbsp; 19548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (a) | &nbsp;&nbsp;&nbsp; 22730 | &nbsp;&nbsp;&nbsp;&nbsp; 18748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.68%, 6/25/2032 | &nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 12877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M6, Class A1, 1.53%, 3/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M12, Class 2A2, 2.20%, 5/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2013 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (a) | &nbsp;&nbsp;&nbsp; 13311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M10, Class X, IO, 1.02%, 5/25/2049 (a) | &nbsp;&nbsp;&nbsp; 64035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3581 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KBX1, Class B, 3.69%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K736, Class B, 3.89%, 7/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-K39, Class C, 4.28%, 8/25/2047 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-K40, Class C, 4.21%, 11/25/2047 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K44, Class C, 3.85%, 1/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K46, Class C, 3.82%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K54, Class C, 4.19%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K48, Class C, 3.77%, 8/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K49, Class C, 3.85%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K50, Class B, 3.91%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K51, Class B, 4.09%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K59, Class B, 3.70%, 11/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K65, Class C, 4.22%, 7/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K71, Class B, 3.88%, 11/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K73, Class B, 3.99%, 2/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K78, Class B, 4.27%, 6/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp; JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK36, 2.09%, 12/27/2046 (a) (c) | &nbsp;&nbsp;&nbsp; 13390 | &nbsp;&nbsp;&nbsp;&nbsp; 12714 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust Series 2006-CB15, Class X1, IO, 0.45%, 6/12/2043 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1479 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (c) | 2686 | 2412 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust Series 2021-MHC, Class E, 5.98%, 4/15/2038 ‡ (a) (c) | 2400 | 2251 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (c) | 5000 | 4593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class E, 2.72%, 12/15/2036 ‡ (c) | 7000 | 6168 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡ | 3200 | 3080 |
| &nbsp;&nbsp;&nbsp; RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (c) | 2123 | 2101 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-OVA, Class A, 2.59%, 7/15/2041 (c) | 3500 | 2823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-OVA, Class E, 2.85%, 7/15/2041 (c) | 5000 | 3491 |
| &nbsp;&nbsp;&nbsp; UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (c) | 95 | 95 |
| &nbsp;&nbsp;&nbsp; UBS-Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C2, Class XA, IO, 0.67%, 5/10/2063 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C2, Class A4, 3.53%, 5/10/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 5.02%, 2/15/2040 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4586 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4280 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.41%, 3/15/2045 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $397,970)<br>|  | &nbsp;&nbsp;&nbsp; 364647 |
| **U.S. Treasury Obligations — 5.6%** | **U.S. Treasury Obligations — 5.6%** | **U.S. Treasury Obligations — 5.6%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/15/2039 | &nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp;&nbsp;&nbsp; 35624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 6800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 5/15/2040 | &nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 12798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | &nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/15/2042 | 107500 | &nbsp;&nbsp;&nbsp;&nbsp; 83627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | &nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 18054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes <br>2.88%, 5/15/2032 (f)<br>| &nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 37494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds <br>7.98%, 11/15/2030 (g)<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $261,930)<br>|  | &nbsp;&nbsp;&nbsp; 217833 |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE** <br>**($000)**<br>|
| **Short-Term Investments — 3.3%** | **Short-Term Investments — 3.3%** | **Short-Term Investments — 3.3%** |
| **Investment Companies — 3.3%** | **Investment Companies — 3.3%** | **Investment Companies — 3.3%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (h) (i) <br>(Cost $125,612)<br>| 125595 | 125633 |
| **Total Investments — 102.9%** <br>**(Cost $4,401,891)**<br>|  | **3972247** |
| **Liabilities in Excess of Other Assets — (2.9)%** |  | **(110237)** |
| **NET ASSETS — 100.0%** |  | **3862010** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| <br>Percentages indicated are based on net assets. |
| <br>Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022. |
| CSMC | Credit Suisse Mortgage Trust |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of November 30, 2022. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates
 and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future
 contingent upon a predetermined trigger. The interest rate shown is the current rate as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Value is zero.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) All or a portion of this security is deposited with the broker as initial margin for futures contracts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The rate shown is the effective yield as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
 by J.P. Morgan Investment Management Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) The rate shown is the current yield as of November 30, 2022.

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

**Futures contracts outstanding as of November 30, 2022 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp; 789 | 03/22/2023 | USD | &nbsp;&nbsp; 89786 | &nbsp;&nbsp;&nbsp; 701 |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp; 543 | 03/22/2023 | USD | &nbsp;&nbsp; 65270 | &nbsp;&nbsp;&nbsp; 656 |
| U.S. Treasury 5 Year Note | 1447 | 03/31/2023 | USD | 157430 | 1264 |
|  |  |  |  |  | 2621 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviations** |  |
| USD | United States Dollar |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**A. Valuation of Investments** — Investments are valued in accordance with U.S. generally accepted accounting principles ("GAAP") and the Fund's valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the "Board"), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

Under Section 2(a)(41) of the Investment Company Act of 1940, the Board is required to determine fair value for securities that do not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation determinations to a valuation designee. The Board has designated the Adviser as the "Valuation Designee" to perform fair valuation determinations for the Fund on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee ("AVC") to help oversee and carry out the policies for the valuation of Investments held in the Fund. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.

This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.

A market-based approach is primarily used to value the Fund's investments. Investments for which market quotations are not readily available are fair valued using prices supplied by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as "Pricing Services"), or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Investments in open-end investment companies ("Underlying Funds") are valued at each Underlying Fund's net asset values ("NAV") per share as of the report date.

Futures contracts are generally valued on the basis of available market quotations.

See the table on "Quantitative Information about Level 3 Fair Value Measurements" for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2022.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Fund's investments are summarized into the three broad levels listed below.

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's assumptions in determining the fair value of investments).

A financial instrument's level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("SOI"):

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | $— | $258062 | $271413 | $529475 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 586854 | &nbsp;&nbsp;&nbsp;&nbsp; 81305 | &nbsp;&nbsp;&nbsp;&nbsp; 668159 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 312878 | &nbsp;&nbsp;&nbsp;&nbsp; 51769 | &nbsp;&nbsp;&nbsp;&nbsp; 364647 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 2066500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 2066500 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 217833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 217833 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 125633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 125633 |
| **Total Investments in Securities** | $125633 | $3442127 | $404487 | $3972247 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | $2621 | $— | $— | $2621 |

---

The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2022**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Other**<sup>(a)</sup> <br>| **Balance as of** <br>**November 30,** <br>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $205290 | $(887) | $(17460) | $(91) | $85671 | $(57109) | $70483 | $(20132) | $5648 | $271413 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 138904 | &nbsp;&nbsp; (2474) | &nbsp;&nbsp;&nbsp;&nbsp; (7338) | &nbsp;&nbsp;&nbsp;&nbsp; (676) | &nbsp;&nbsp;&nbsp;&nbsp; 10022 | &nbsp;&nbsp;&nbsp;&nbsp; (52019) | &nbsp;&nbsp;&nbsp;&nbsp; 9579 | &nbsp;&nbsp;&nbsp;&nbsp; (4743) | &nbsp;&nbsp; (9950) | &nbsp;&nbsp;&nbsp;&nbsp; 81305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 66059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (11) | &nbsp;&nbsp;&nbsp;&nbsp; (4545) | &nbsp;&nbsp;&nbsp;&nbsp; (488) | &nbsp;&nbsp;&nbsp;&nbsp; 12543 | &nbsp;&nbsp;&nbsp;&nbsp; (26091) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 4302 | &nbsp;&nbsp;&nbsp;&nbsp; 51769 |
| **Total** | $410253 | $(3372) | $(29343) | $(1255) | $108236 | $(135219) | $80062 | $(24875) | $— | $404487 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

 <br> <sup>1</sup> Purchases include all purchases of securities and securities received in corporate actions. <br> <sup>2</sup> Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Certain Level 3 investments were re-classified between Collateralized Mortgage Obligations, Asset-Backed Securities and Commercial Mortgage-Backed Securities.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(32,270).

Transfers between level 2 and level 3 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the period ended November 30, 2022.

The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

**Quantitative Information about Level 3 Fair Value Measurements #** 

---

| | | | |
|:---|:---|:---|:---|
| **Fair Value at** <br>**November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted** <br>**Average) (a)** <br>|
| $230622  | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (8.59%) |
|  |  | Constant Default Rate | 0.00% - 4.24% (0.03%) |
|  |  | Yield (Discount Rate of Cash Flows) | 5.88% - 11.75% (7.72%) |

---

------

**JPMorgan Mortgage-Backed Securities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)** <br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp; 230622  |  |  |  |
|  | &nbsp;&nbsp;&nbsp; 56841  | Discounted Cash Flow | Constant Prepayment Rate | 1.00% - 100.00% (60.09%) |
|  |  |  | Constant Default Rate | 0.00% - 6.69% (0.26%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.15% - 44.54% (6.76%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations<br>| &nbsp;&nbsp;&nbsp; 56841  |  |  |  |
|  | &nbsp;&nbsp;&nbsp; 22798  | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (17.80%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.91% - 81.25% (11.08%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp; 22798  |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $310261  |  |  |  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2022, the value of these investments was $94,226. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

(a) Unobservable inputs were weighted by the relative fair value of the instruments.

**B. Investment Transactions with Affiliates** — The Fund invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuers listed in the table below to be affiliated issuers. The Underlying Funds' distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the table below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 3.94% (a) (b)<br>| $285727 | $1703420 | $1863512 | $(25) | $23 | $125633 | 125595 | $1333 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

 <br> (a) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. <br> (b) The rate shown is the current yield as of November 30, 2022.

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

**Item A.2. Information about the Series.**

- **a. Name of Series:** JPMorgan Mortgage-Backed Securities Fund

- **b. EDGAR series identifier (if any):** S000003488

- **c. LEI of Series:** 5493003VJIZTX1Q7MD45

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $3987981794.02

**Total Liabilities:** $126191989.50

**Net Assets:** $3861789804.52

**Delayed Delivery Securities:** $41900699.39

**Cash Not Reported:** $762613.17

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 1853.99541000 | **1-Year:** 87875.71374000 | **5-Year:** 582175.97386000 | **10-Year:** 1058574.21444000 | **30-Year:** 13367.97352000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 777.86571000 | **1-Year:** 17245.82593000 | **5-Year:** 5062.42170000 | **10-Year:** 5355.73721000 | **30-Year:** 362.46486000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009646 | -4.04%               | -1.58%               | 3.04%                |
| Class ID C000009648 | -4.02%               | -1.57%               | 2.95%                |
| Class ID C000116212 | -4.01%               | -1.65%               | 2.88%                |
| Class ID C000009647 | -4.04%               | -1.55%               | 2.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1035127.17             | $-152987874.20                             |
| Month 2  | $-9058359.97             | $-56166638.99                              |
| Month 3  | $-632945.38              | $97649143.19                               |

**Designated Index Information**

- **Index Name:** Global Aggregate - U.S. MBS

- **Index Identifier:** 3446TRUSD0

### Schedule of Portfolio Investments

| Name                                                                 | Title                                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2759037 | PA      | $2854016.13   | 0.07%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-73, Class JL                                                                   | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590991 | PA      | $50478.34     | 0.00%             | 2034-09-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Manufactured Housing Contract Trust                   | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A                                | CUSIP: 55660AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  33144137 | PA      | $231972.50    | 0.01%             | 2032-03-25      | Fixed         | 0.30%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-93, Class AS                                                                   | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136000 | PA      | $6626.30      | 0.00%             | 2038-12-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1912304 | PA      | $1890232.47   | 0.05%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H02, Class HF                                                                  | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1328 | PA      | $1309.24      | 0.00%             | 2062-11-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KEB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5352050 | PA      | $4770312.20   | 0.12%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-45, Class QA                                                                   | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73036 | PA      | $3623.29      | 0.00%             | 2037-07-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1793734 | PA      | $1676038.56   | 0.04%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                              | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163796 | PA      | $14423.20     | 0.00%             | 2035-12-25      | Floating      | 1.06%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class TP                                                              | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84130 | PA      | $83011.44     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-13, Class 1A1                                               | CUSIP: 36228FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22651 | PA      | $21943.14     | 0.00%             | 2033-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-179, Class SB                                                           | CUSIP: 31359EFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1317.22      | 0.00%             | 2023-10-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8093000 | PA      | $7333544.38   | 0.19%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617HGFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2740793 | PA      | $2783906.83   | 0.07%             | 2048-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18189 | PA      | $90.37        | 0.00%             | 2037-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fn  nov30                                                            | Fn  nov30                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6123750.00   | 0.16%             | 2030-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1996448 | PA      | $1862281.43   | 0.05%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30PO                                          | CUSIP: 576434RP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95561 | PA      | $65288.08     | 0.00%             | 2034-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3740, Class SC                                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227354 | PA      | $23892.25     | 0.00%             | 2040-10-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8685 | PA      | $8682.47      | 0.00%             | 2037-02-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-91, Class SD                                                            | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19723 | PA      | $19266.19     | 0.00%             | 2033-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H11, Class FD                                                                  | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1352238 | PA      | $1325078.89   | 0.03%             | 2066-05-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-53, Class NC                                                            | CUSIP: 31394ABD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6182 | PA      | $6157.91      | 0.00%             | 2024-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                        | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                          | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1134027 | PA      | $998760.40    | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S3, Class 1A4                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33420 | PA      | $32142.77     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412033 | PA      | $1411717.85   | 0.04%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                                | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3082238 | PA      | $2610467.16   | 0.07%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3895, Class WA                                                              | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95061 | PA      | $95710.08     | 0.00%             | 2038-10-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                        | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26553 | PA      | $24295.40     | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1668600 | PA      | $1562667.06   | 0.04%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1994-26, Class J                                                             | CUSIP: 31359GQN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18326 | PA      | $17959.54     | 0.00%             | 2024-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ADJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344997 | PA      | $1376891.14   | 0.04%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W10                                                   | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208770 | PA      | $27780.57     | 0.00%             | 2042-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H21, Class FL                                                                  | CUSIP: 38380QTM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14209389 | PA      | $13978916.96  | 0.36%             | 2070-12-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2060195 | PA      | $1893286.67   | 0.05%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36290SCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8902 | PA      | $8895.31      | 0.00%             | 2033-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2653148 | PA      | $2332728.26   | 0.06%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates     | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-9, Class 1P        | CUSIP: 15132EGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3973 | PA      | $2705.34      | 0.00%             | 2033-11-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3331282 | PA      | $3203582.27   | 0.08%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                             | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220225 | PA      | $171428.06    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class PS                                                            | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93825 | PA      | $81210.96     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT2, Class A                                | CUSIP: 62955WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10715755 | PA      | $9478928.63   | 0.25%             | 2026-05-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    644292 | PA      | $632566.50    | 0.02%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $9654622.92   | 0.25%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4949464 | PA      | $4312620.98   | 0.11%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR5, Class D                                                            | CUSIP: 03217JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $3706767.96   | 0.10%             | 2037-11-17      | Fixed         | 2.18%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1985520 | PA      | $1819671.98   | 0.05%             | 2051-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474002 | PA      | $503699.99    | 0.01%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8827012.70   | 0.23%             | 2032-04-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-130, Class CY                                                           | CUSIP: 31398N3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576882 | PA      | $1558786.49   | 0.04%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3022, Class SX                                                              | CUSIP: 31395XHN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9115 | PA      | $8778.60      | 0.00%             | 2025-08-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LKUC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880567 | PA      | $816194.87    | 0.02%             | 2030-04-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class SW                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20821 | PA      | $2218.42      | 0.00%             | 2032-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                        | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13274063 | PA      | $11747614.41  | 0.30%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| REPO FUNDS                                                           | Repo Buyer                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   5499000 | PA      | $5230648.80   | 0.14%             | 2022-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358000 | PA      | $3516846.73   | 0.09%             | 2035-10-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7BQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286003 | PA      | $273041.31    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-7CB, Class 1A2                                               | CUSIP: 12668BXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7501671 | PA      | $669287.85    | 0.02%             | 2036-05-25      | Floating      | 1.26%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29326 | PA      | $28872.59     | 0.00%             | 2039-02-15      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3159685 | PA      | $2934804.91   | 0.08%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class Institutional                                            | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 125594944 | NS      | $125632622.28 | 3.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                   | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    756866 | PA      | $738249.43    | 0.02%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-10, Class SA                                                                   | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170913 | PA      | $8173.54      | 0.00%             | 2039-02-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772841 | PA      | $722518.65    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                  | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11900000 | PA      | $10506559.98  | 0.27%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7FN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878636 | PA      | $843459.17    | 0.02%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-111, Class EO                                                           | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35354 | PA      | $29038.06     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204US28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118217 | PA      | $115116.92    | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1543162 | PA      | $1558429.56   | 0.04%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M10, Class A2                                                             | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $19548300.00  | 0.51%             | 2032-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2096000 | PA      | $1928777.07   | 0.05%             | 2038-04-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58, Class AP                                                            | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37973 | PA      | $31629.84     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class SK                                                            | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27679 | PA      | $28720.88     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3318, Class BT                                                              | CUSIP: 31397HCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549789 | PA      | $548221.69    | 0.01%             | 2034-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30747 | PA      | $30927.31     | 0.00%             | 2037-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3422, Class AI                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427717 | PA      | $3796.59      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class TS                                                                  | CUSIP: 38382KCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19373710 | PA      | $554219.85    | 0.01%             | 2050-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841014 | PA      | $823376.02    | 0.02%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1724987 | PA      | $1611725.59   | 0.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4961782 | PA      | $5138754.34   | 0.13%             | 2052-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class HC                                                                   | CUSIP: 38381RXH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1952662 | PA      | $1895090.81   | 0.05%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2221566 | PA      | $2077202.76   | 0.05%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3611                                                                        | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108848 | PA      | $92502.99     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class SK                                                            | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20055 | PA      | $19402.04     | 0.00%             | 2034-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPES9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2312310 | PA      | $2033077.31   | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    775937 | PA      | $783386.23    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425501 | PA      | $1440264.69   | 0.04%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FRQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1847465 | PA      | $1743934.81   | 0.05%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2007-QS1, Class 1A1                                                           | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110256 | PA      | $83444.71     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H16, Class F                                                                   | CUSIP: 38375UD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2615536 | PA      | $2554572.80   | 0.07%             | 2067-08-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-55, Class SA                                                                   | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85938 | PA      | $3026.58      | 0.00%             | 2038-06-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1835205 | PA      | $1704650.90   | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2434, Class TC                                                              | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31019 | PA      | $32802.02     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-4, Class BD                                                             | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7931 | PA      | $7300.69      | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7770 | PA      | $7589.19      | 0.00%             | 2035-05-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Verlook Apts El  sep32                                               | Verlook Apts El  sep32                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6105000 | PA      | $6051074.69   | 0.16%             | 2032-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G97-2, Class ZA                                                              | CUSIP: 31359NSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10533 | PA      | $11035.31     | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2061, Class DC                                                              | CUSIP: 3133TEHE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17768 | PA      | $1351.50      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12998 | PA      | $13227.12     | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-63, Class P                                                             | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10071 | PA      | $9972.77      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-2, Class LZ                                                             | CUSIP: 3136AB4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31762 | PA      | $25947.76     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2370491 | PA      | $2399931.59   | 0.06%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2013-SFS, Class A2                                             | CUSIP: 12625EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247000 | PA      | $1226590.73   | 0.03%             | 2035-04-12      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1996-14, Class SE                                                            | CUSIP: 31359KAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3257 | PA      | $50.66        | 0.00%             | 2023-08-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617866 | PA      | $591842.33    | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                  | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class X1                  | CUSIP: 46627QBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478841 | PA      | $11.39        | 0.00%             | 2043-06-12      | Variable      | 0.45%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W6A63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145611 | PA      | $1079736.02   | 0.03%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1992571 | PA      | $2009413.51   | 0.05%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590175 | PA      | $602585.99    | 0.02%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H05                                                                            | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21754271 | PA      | $1381394.00   | 0.04%             | 2070-03-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1133656 | PA      | $1059988.76   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFS93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1385861 | PA      | $1405995.12   | 0.04%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-38, Class SW                                                                   | CUSIP: 38374NPR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16709 | PA      | $110.19       | 0.00%             | 2036-06-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SG                                                            | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67125 | PA      | $71850.37     | 0.00%             | 2035-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYBH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2268774 | PA      | $2190103.69   | 0.06%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-163, Class WA                                                                  | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    866178 | PA      | $898310.36    | 0.02%             | 2038-12-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H26, Class FC                                                                  | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    985209 | PA      | $972859.33    | 0.03%             | 2066-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3           | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154031 | PA      | $89173.34     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-18, Class EC                                                            | CUSIP: 31359X6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8341 | PA      | $8061.67      | 0.00%             | 2023-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530487 | PA      | $508142.36    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630346 | PA      | $634147.19    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6043633 | PA      | $5461106.15   | 0.14%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-1A, Class A                                                         | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238009 | PA      | $220728.14    | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3329518 | PA      | $3410438.28   | 0.09%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1235824 | PA      | $1217283.61   | 0.03%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-23, Class KO                                                            | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35259 | PA      | $31504.02     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JI                                                                   | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350829 | PA      | $31702.28     | 0.00%             | 2037-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class ZL                                                              | CUSIP: 3133TJVY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7372 | PA      | $7491.42      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2905783 | PA      | $2794395.24   | 0.07%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-56, Class S                                                             | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149922 | PA      | $12842.03     | 0.00%             | 2035-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2001-W3, Class A                                           | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269449 | PA      | $264536.61    | 0.01%             | 2041-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                  | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147510 | PA      | $138709.13    | 0.00%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M7, Class A2                                                              | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4041708 | PA      | $3809570.27   | 0.10%             | 2028-03-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1173622 | PA      | $1133310.67   | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1473273 | PA      | $1421661.44   | 0.04%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                      | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37402 | PA      | $33723.51     | 0.00%             | 2034-05-20      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31416XA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278327 | PA      | $260027.49    | 0.01%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2481411 | PA      | $2177744.69   | 0.06%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59816 | PA      | $38417.84     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31384LXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2381 | PA      | $2406.33      | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2022-SFR1, Class C                                                          | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3634885.04   | 0.09%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31390LY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7385 | PA      | $7377.23      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2219779 | PA      | $2089381.35   | 0.05%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-3A, Class A1                                                     | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427367 | PA      | $398143.88    | 0.01%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3387, Class SA                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122381 | PA      | $10314.67     | 0.00%             | 2037-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-26, Class SC                                                                   | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155989 | PA      | $5773.14      | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3028930 | PA      | $2777503.16   | 0.07%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL2, Class A1                                                             | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3997231 | PA      | $3613448.45   | 0.09%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-53, Class US                                                            | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164127 | PA      | $14907.81     | 0.00%             | 2036-06-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-61, Class Z                                                             | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74717 | PA      | $78512.48     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class LF                                                                  | CUSIP: 38380QP71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44859422 | PA      | $45739680.16  | 1.18%             | 2071-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2022-JR1, Class A1                                                            | CUSIP: 12546WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6836092 | PA      | $6463689.43   | 0.17%             | 2066-10-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1588897 | PA      | $1588542.00   | 0.04%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KFSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500979 | PA      | $486521.57    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2887589 | PA      | $2698051.41   | 0.07%             | 2029-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2367, Class ZK                                                              | CUSIP: 31339GJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82671 | PA      | $85031.75     | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                           | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1847072.00   | 0.05%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2019-SFR3, Class E                                            | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12690000 | PA      | $11871034.35  | 0.31%             | 2036-09-17      | Fixed         | 3.37%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-52, Class WA                                                                   | CUSIP: 38375CE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1992619 | PA      | $2074994.09   | 0.05%             | 2038-04-20      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                            | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174010 | PA      | $1000247.61   | 0.03%             | 2035-09-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class PI                                                                  | CUSIP: 38380QA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33223785 | PA      | $1035752.82   | 0.03%             | 2071-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420743 | PA      | $1447639.48   | 0.04%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1597857 | PA      | $1622494.20   | 0.04%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2015-SFR2, Class D                                           | CUSIP: 02666BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $2963865.36   | 0.08%             | 2052-10-17      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856511 | PA      | $802537.07    | 0.02%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4848, Class QY                                                              | CUSIP: 3137FKFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822416 | PA      | $783604.33    | 0.02%             | 2048-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4903, Class SN                                                              | CUSIP: 3137FN5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9845288 | PA      | $1112173.93   | 0.03%             | 2049-08-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2557, Class HL                                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248946 | PA      | $252042.65    | 0.01%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-100, Class MY                                                                  | CUSIP: 38377XBW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    955633 | PA      | $939765.82    | 0.02%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1390083 | PA      | $1261175.41   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51711 | PA      | $52296.54     | 0.00%             | 2036-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    919564 | PA      | $902617.19    | 0.02%             | 2040-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-116, Class HI                                                           | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401482 | PA      | $11943.74     | 0.00%             | 2038-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K44, Class C                                                   | CUSIP: 30292NAK9<br>LEI: 549300OFE1DNC7KO4K57 | Long             | ABS-MBS          | USGSE             | US        |   4095000 | PA      | $3878639.86   | 0.10%             | 2048-01-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2078401 | PA      | $2047002.49   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330164 | PA      | $332660.22    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-101, Class DO                                                           | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1003931 | PA      | $745817.50    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409EFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6733 | PA      | $6721.24      | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class QI                                                                  | CUSIP: 38380QJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 115001256 | PA      | $3012572.91   | 0.08%             | 2071-03-20      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153728 | PA      | $152412.02    | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1970000 | PA      | $2009006.81   | 0.05%             | 2036-03-01      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| RMIP                                                                 | RMIP                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    588098 | PA      | $574983.06    | 0.01%             | 2023-08-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                              | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7374 | PA      | $5911.35      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549075 | PA      | $515304.40    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M49, Class 1A1                                                            | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2533366 | PA      | $2218407.91   | 0.06%             | 2030-11-25      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42595 | PA      | $43273.03     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50158 | PA      | $49417.48     | 0.00%             | 2034-05-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91571 | PA      | $96283.59     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FD                                                                  | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2428258 | PA      | $2413545.67   | 0.06%             | 2066-05-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR2, Class 2A1                 | CUSIP: 22541Q6Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33612 | PA      | $31819.46     | 0.00%             | 2034-03-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       918 | PA      | $948.09       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2444, Class ES                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18371 | PA      | $1788.69      | 0.00%             | 2032-03-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class AO                                                              | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91198 | PA      | $75014.03     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30PO                                          | CUSIP: 576434PD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78798 | PA      | $53737.69     | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                  | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16106 | PA      | $14619.78     | 0.00%             | 2034-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129169 | PA      | $120900.01    | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2201, Class C                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9614 | PA      | $10017.25     | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283890 | PA      | $1273842.09   | 0.03%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5396574 | PA      | $5585902.61   | 0.14%             | 2071-12-20      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2063862 | PA      | $2007217.78   | 0.05%             | 2048-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31346YUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1294493 | PA      | $1238931.43   | 0.03%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                               | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4                                 | CUSIP: 90269CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240 | PA      | $240.43       | 0.00%             | 2063-05-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-54, Class WI                                                            | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220456 | PA      | $18584.82     | 0.00%             | 2037-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166602 | PA      | $1091070.44   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4       | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145204 | PA      | $120930.32    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16418000 | PA      | $13458722.65  | 0.35%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                                   | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4316438 | PA      | $3970000.30   | 0.10%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class SC                                                            | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43648 | PA      | $3136.14      | 0.00%             | 2039-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                     | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161489 | PA      | $150729.13    | 0.00%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1730874 | PA      | $1685298.68   | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1915292 | PA      | $1678360.07   | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23320 | PA      | $23343.90     | 0.00%             | 2038-04-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1236676 | PA      | $1189267.65   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31409TVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32056 | PA      | $33010.47     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Series 2001-W4, Class AF6                                                     | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | CORP              | US        |      8150 | PA      | $8149.27      | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                         | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75413 | PA      | $76391.79     | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A3                                        | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231581 | PA      | $246622.13    | 0.01%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-39                                                                      | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11651 | PA      | $1742.00      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620C4Z78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37793 | PA      | $37170.95     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-130, Class GI                                                           | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147655 | PA      | $16672.68     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15534 | PA      | $15426.29     | 0.00%             | 2035-12-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378727 | PA      | $1353807.38   | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1999-62, Class PB                                                            | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13879 | PA      | $14396.47     | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K1XU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3417320 | PA      | $3395686.76   | 0.09%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                              | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                               | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403090 | PA      | $4.03         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41344 | PA      | $42269.91     | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eserve At Bradbury  aug32                                            | Eserve At Bradbury  aug32                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2575000 | PA      | $2737139.93   | 0.07%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-30, Class ZA                                                            | CUSIP: 31359TUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130617 | PA      | $133270.90    | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2003-A5, Class A1                                 | CUSIP: 45660NPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86279 | PA      | $81048.36     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1996725 | PA      | $1869345.90   | 0.05%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2008696 | PA      | $1941238.14   | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1994-1, Class 2ZB                                                  | CUSIP: 911760DS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152166 | PA      | $152363.39    | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816091 | PA      | $781415.88    | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-130, Class SX                                                           | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4690 | PA      | $4639.45      | 0.00%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW7L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016060 | PA      | $1024934.10   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1041550 | PA      | $1048838.65   | 0.03%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BYFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13134884 | PA      | $12853076.99  | 0.33%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $691343.48    | 0.02%             | 2045-03-15      | Variable      | 4.41%                 | Yes           |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-1D, Class C                                            | CUSIP: 43283BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085692 | PA      | $1978876.31   | 0.05%             | 2034-06-20      | Fixed         | 4.69%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1197550 | PA      | $1050776.02   | 0.03%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                            | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64024 | PA      | $64576.72     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class OH                                                              | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9825 | PA      | $8427.93      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                 | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126159 | PA      | $115022.75    | 0.00%             | 2034-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-7, Class LO                                                             | CUSIP: 31394B5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275755 | PA      | $246363.22    | 0.01%             | 2035-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-36, Class DE                                                            | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25694 | PA      | $27007.63     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1240000 | PA      | $1131475.32   | 0.03%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K54, Class C                                                   | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3691000 | PA      | $3450181.44   | 0.09%             | 2048-04-25      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class IH                                                                  | CUSIP: 38380QSQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11153486 | PA      | $364103.97    | 0.01%             | 2070-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1630449 | PA      | $1553228.36   | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19196467 | PA      | $15370266.17  | 0.40%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6353843 | PA      | $5169589.05   | 0.13%             | 2033-05-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                         | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9525 | PA      | $11355.49     | 0.00%             | 2037-07-25      | Floating      | 15.08%                | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3                                                   | CUSIP: 12669FQB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6201 | PA      | $4376.01      | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1460833 | PA      | $1404188.33   | 0.04%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151564 | PA      | $151876.38    | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409XPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7295 | PA      | $7209.41      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-44                                                                      | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11831 | PA      | $9847.25      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3322, Class NS                                                              | CUSIP: 31397HMC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417419 | PA      | $437194.77    | 0.01%             | 2037-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class B                                                  | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1343655.30   | 0.03%             | 2027-07-25      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4330135 | PA      | $4414766.87   | 0.11%             | 2052-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4002670 | PA      | $3718923.28   | 0.10%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6407281 | PA      | $6040433.91   | 0.16%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-2, Class WA                                                             | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84897 | PA      | $86317.44     | 0.00%             | 2051-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA6, Class A32                                                           | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486660 | PA      | $278038.51    | 0.01%             | 2035-05-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569544 | PA      | $561157.85    | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1745, Class D                                                               | CUSIP: 3133T54P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4362 | PA      | $4402.03      | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065587 | PA      | $1070950.23   | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FGLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4908651 | PA      | $4907185.22   | 0.13%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-46, Class ZK                                                            | CUSIP: 31396VB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214030 | PA      | $212874.95    | 0.01%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                   | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34646 | PA      | $35860.74     | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3858 | PA      | $3855.39      | 0.00%             | 2029-03-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445800 | PA      | $440748.31    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4939424 | PA      | $4233001.64   | 0.11%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                         | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19003 | PA      | $17275.69     | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3734471 | PA      | $3388465.31   | 0.09%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1482790 | PA      | $1419784.22   | 0.04%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-90, Class AO                                                            | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68108 | PA      | $59149.99     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       553 | PA      | $552.70       | 0.00%             | 2025-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Bayview Finance LLC                                                  | Bayview Finance LLC                                                                              | CUSIP: 07335NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4365596 | PA      | $4300112.46   | 0.11%             | 2033-07-12      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-43, Class SA                                                            | CUSIP: 31359TL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       539 | PA      | $9.05         | 0.00%             | 2023-04-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OG                                                              | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54934 | PA      | $46964.00     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-4, Class 1A5                                                    | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258155 | PA      | $240755.24    | 0.01%             | 2033-05-25      | Variable      | 4.89%                 | No            |                  3 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class M1                                                | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1445152.60   | 0.04%             | 2046-02-25      | Fixed         | 2.99%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-72, Class SM                                                                   | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    298712 | PA      | $19008.99     | 0.00%             | 2039-08-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                               | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA                                 | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1557459 | PA      | $21.49        | 0.00%             | 2063-05-10      | Variable      | 0.67%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10179495 | PA      | $9455162.57   | 0.24%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25883 | PA      | $23963.79     | 0.00%             | 2035-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1843380 | PA      | $1734999.46   | 0.04%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-129, Class AW                                                                  | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281194 | PA      | $289795.38    | 0.01%             | 2037-04-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4238000 | PA      | $4167840.42   | 0.11%             | 2031-11-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    784110 | PA      | $816100.09    | 0.02%             | 2049-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-4, Class 30PO                                         | CUSIP: 05946XA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23069 | PA      | $15119.54     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-33, Class XS                                                                   | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78617 | PA      | $5168.08      | 0.00%             | 2038-04-16      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2648139 | PA      | $2581895.69   | 0.07%             | 2048-01-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3623, Class LO                                                              | CUSIP: 31398LYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148833 | PA      | $118316.69    | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                 | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481341 | PA      | $49639.78     | 0.00%             | 2041-07-25      | Variable      | 3.03%                 | Yes           |                  3 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2005-3, Class AX2                                           | CUSIP: 576434P24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702623 | PA      | $108536.47    | 0.00%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $512.62       | 0.00%             | 2036-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8559779 | PA      | $7951185.00   | 0.21%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1011292 | PA      | $928433.89    | 0.02%             | 2051-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-71, Class ST                                                                   | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13521 | PA      | $13645.24     | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577167 | PA      | $564366.74    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                                   | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9388000 | PA      | $8945830.85   | 0.23%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630211 | PA      | $588064.50    | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 30PO                                          | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20789 | PA      | $15253.92     | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1028850 | PA      | $988955.28    | 0.03%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                        | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237312 | PA      | $215247.40    | 0.01%             | 2033-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1360363 | PA      | $1397605.81   | 0.04%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200MFH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11596 | PA      | $11979.51     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12955 | PA      | $12976.31     | 0.00%             | 2036-03-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1629320 | PA      | $1560084.84   | 0.04%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-1, Class UD                                                             | CUSIP: 31392BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2236 | PA      | $2205.97      | 0.00%             | 2023-12-25      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1607284 | PA      | $1473709.38   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994477 | PA      | $930957.93    | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                 | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139311 | PA      | $73538.62     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                            | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243996 | PA      | $217788.48    | 0.01%             | 2035-06-19      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                   | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     89856 | PA      | $92159.30     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UHAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7084910 | PA      | $6580638.49   | 0.17%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-26, Class AK                                                                   | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812901 | PA      | $815860.06    | 0.02%             | 2041-09-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                 | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31282 | PA      | $28581.82     | 0.00%             | 2034-12-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2990, Class WP                                                              | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       831 | PA      | $833.98       | 0.00%             | 2035-06-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19216 | PA      | $19157.77     | 0.00%             | 2037-02-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3149, Class SO                                                              | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40448 | PA      | $32027.86     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1052894 | PA      | $1014254.49   | 0.03%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-30, Class LS                                                            | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252588 | PA      | $11718.11     | 0.00%             | 2041-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2296, Class PD                                                              | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14570 | PA      | $15330.70     | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class ZB                                                              | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29491 | PA      | $33657.30     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                                 | Progress Residential, Series 2021-SFR4, Class E2                                                 | CUSIP: 74333EAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3458000 | PA      | $2864813.64   | 0.07%             | 2038-05-17      | Fixed         | 2.56%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-23, Class KS                                                            | CUSIP: 31398MZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112363 | PA      | $7985.26      | 0.00%             | 2040-02-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1730128 | PA      | $1705133.78   | 0.04%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3572427 | PA      | $3367533.63   | 0.09%             | 2032-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $37493750.00  | 0.97%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                  | DBWF Mortgage Trust, Series 2015-LCM, Class A1                                                   | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    736897 | PA      | $678139.74    | 0.02%             | 2034-06-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-12, Class IE                                                                   | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528216 | PA      | $46872.41     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 393, Class 6                                                                | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19460 | PA      | $2471.48      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1899, Class ZE                                                              | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9668 | PA      | $10038.75     | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8818693 | PA      | $9127883.17   | 0.24%             | 2071-12-20      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGXV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184000 | PA      | $2058175.61   | 0.05%             | 2032-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M6, Class A1                                                              | CUSIP: 3136BFHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4568648 | PA      | $4064947.71   | 0.11%             | 2033-03-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5035482.18   | 0.13%             | 2032-08-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3795, Class EI                                                              | CUSIP: 3137A5MR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50284 | PA      | $678.81       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1541, Class O                                                               | CUSIP: 3133T0BX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       867 | PA      | $863.88       | 0.00%             | 2023-07-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965966 | PA      | $928491.96    | 0.02%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2608 | PA      | $2635.01      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2033, Class SN                                                              | CUSIP: 3133TCX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       418 | PA      | $21.55        | 0.00%             | 2024-03-15      | Floating      | 25.62%                | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4323565 | PA      | $3946729.61   | 0.10%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class ST                                                           | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151191 | PA      | $13086.91     | 0.00%             | 2040-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1505, Class QB                                                              | CUSIP: 312915A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $68.69        | 0.00%             | 2023-05-15      | Floating      | 12.81%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F2XL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1317824 | PA      | $1284255.94   | 0.03%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class NI                                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138696 | PA      | $20701.35     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VJEN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4523300 | PA      | $4210614.09   | 0.11%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6213873 | PA      | $5533026.30   | 0.14%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H09, Class IE                                                                  | CUSIP: 38380QBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9473797 | PA      | $339827.48    | 0.01%             | 2070-05-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class AI                                                                   | CUSIP: 38382GWQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11166816 | PA      | $2099176.08   | 0.05%             | 2050-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101828 | PA      | $106018.19    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO                  | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55057 | PA      | $39224.03     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213J5Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29498 | PA      | $30473.95     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-1, Class 30PO                                          | CUSIP: 576434LX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33429 | PA      | $21642.27     | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9800000 | PA      | $8548101.94   | 0.22%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409JS50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31483 | PA      | $31681.91     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90                                                                      | CUSIP: 31394FVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40103 | PA      | $38109.66     | 0.00%             | 2035-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1599069 | PA      | $1617559.58   | 0.04%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4456, Class SA                                                              | CUSIP: 3137BGRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3451835 | PA      | $392674.91    | 0.01%             | 2045-03-15      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84807 | PA      | $87451.73     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61959 | PA      | $56826.90     | 0.00%             | 2033-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898326 | PA      | $840653.20    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-1, Class SA                                                             | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4497 | PA      | $5215.77      | 0.00%             | 2032-02-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17397 | PA      | $17202.56     | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012346 | PA      | $940578.71    | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FG4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4571759 | PA      | $4638200.88   | 0.12%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708647 | PA      | $718523.89    | 0.02%             | 2050-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12868 | PA      | $12654.71     | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 299, Class 300                                                             | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256034 | PA      | $233641.30    | 0.01%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2019-1A, Class C                                             | CUSIP: 252722AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230193 | PA      | $1189642.10   | 0.03%             | 2032-02-20      | Fixed         | 4.02%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class PY                                                              | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156588 | PA      | $1114175.10   | 0.03%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                            | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4335818 | PA      | $4078961.50   | 0.11%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class ST                                                            | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3811 | PA      | $4107.09      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       506 | PA      | $518.11       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    983295 | PA      | $888455.14    | 0.02%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-72, Class EK                                                            | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597752 | PA      | $56968.37     | 0.00%             | 2037-07-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-54, Class JZ                                                                   | CUSIP: 38374VZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860176 | PA      | $887087.70    | 0.02%             | 2039-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-44, Class B                                                             | CUSIP: 3136AKSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927655 | PA      | $849749.05    | 0.02%             | 2034-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fn  aug32                                                            | Fn  aug32                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $12324180.52  | 0.32%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120, Class PF                                                           | CUSIP: 31396LJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62508 | PA      | $61740.17     | 0.00%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-59, Class BG                                                            | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38207 | PA      | $32365.48     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3369656 | PA      | $2973982.44   | 0.08%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2514271 | PA      | $2353895.89   | 0.06%             | 2031-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2247, Class Z                                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7710 | PA      | $8141.13      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1926392 | PA      | $1865587.31   | 0.05%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40114 | PA      | $40395.29     | 0.00%             | 2035-01-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196999 | PA      | $206124.14    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967951 | PA      | $971457.30    | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73012 | PA      | $75699.83     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3151                                                                        | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130320 | PA      | $104547.90    | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388816 | PA      | $401385.30    | 0.01%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2372, Class F                                                               | CUSIP: 31339G4S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5024 | PA      | $4992.79      | 0.00%             | 2031-10-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class AI                                                                  | CUSIP: 38380QUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  83595257 | PA      | $3198060.28   | 0.08%             | 2070-11-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K49, Class C                                                   | CUSIP: 30287TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2807858.40   | 0.07%             | 2048-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2162282 | PA      | $2115076.04   | 0.05%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183FAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137623 | PA      | $134806.76    | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                           | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37083 | PA      | $34972.70     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-32, Class PI                                                                   | CUSIP: 383742YT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18906 | PA      | $192.78       | 0.00%             | 2037-10-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704663 | PA      | $1635719.43   | 0.04%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293018 | PA      | $1215505.69   | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-112, Class SA                                                                  | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174822 | PA      | $4270.15      | 0.00%             | 2033-12-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-103, Class SC                                                           | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175197 | PA      | $163090.62    | 0.00%             | 2035-07-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2494, Class SX                                                              | CUSIP: 31392UZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230362 | PA      | $13262.80     | 0.00%             | 2032-02-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954502 | PA      | $940713.82    | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                              | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94690 | PA      | $80896.81     | 0.00%             | 2034-06-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    967308 | PA      | $1000137.83   | 0.03%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-42, Class SC                                                                   | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210704 | PA      | $14273.70     | 0.00%             | 2039-06-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2014-FRR8, Class A                                                  | CUSIP: 05525QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8915000 | PA      | $7989959.99   | 0.21%             | 2047-11-26      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-39, Class OT                                                            | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85779 | PA      | $70075.32     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LXWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1017684 | PA      | $1024818.31   | 0.03%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H04, Class SA                                                                  | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1462643 | PA      | $1439579.04   | 0.04%             | 2063-02-20      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2           | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33355 | PA      | $28866.51     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13416 | PA      | $13727.11     | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class B                                                                | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2605231 | PA      | $2361536.45   | 0.06%             | 2041-01-22      | Fixed         | 1.44%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2586, Class WI                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70389 | PA      | $12090.12     | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2102471 | PA      | $1965822.95   | 0.05%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547019 | PA      | $514854.61    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class HA                                                                  | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1882142 | PA      | $1861072.11   | 0.05%             | 2063-03-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class CY                                                              | CUSIP: 31398QSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1761672 | PA      | $1739472.71   | 0.05%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-47, Class MT                                                            | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10685 | PA      | $11132.17     | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403C6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25612 | PA      | $26694.66     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352565 | PA      | $326381.08    | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1829, Class ZB                                                              | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3051 | PA      | $3060.19      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2022-1, Class C                                    | CUSIP: 69547NAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6635000 | PA      | $6040545.14   | 0.16%             | 2025-08-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR4, Class E2                                                           | CUSIP: 66981FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $174326.06    | 0.00%             | 2037-11-17      | Fixed         | 2.46%                 | Yes           |                  3 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4647643 | PA      | $4280735.94   | 0.11%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1                            | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119449 | PA      | $119963.36    | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A2                                                     | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1368479 | PA      | $1299915.31   | 0.03%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                               | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51055 | PA      | $49103.82     | 0.00%             | 2035-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26610 | PA      | $27571.98     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-27, Class S                                                             | CUSIP: 31358TRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       141 | PA      | $138.52       | 0.00%             | 2023-02-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1985, Class PR                                                              | CUSIP: 3133TAVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2981 | PA      | $246.44       | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class XAM                 | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33000000 | PA      | $1507070.40   | 0.04%             | 2027-10-25      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11240168 | PA      | $10260615.68  | 0.27%             | 2030-11-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9786160 | PA      | $8745548.35   | 0.23%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457453 | PA      | $426465.46    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6723673 | PA      | $6286414.61   | 0.16%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1335864 | PA      | $1351776.09   | 0.04%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63972 | PA      | $61770.73     | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8262650.70   | 0.21%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H01, Class JA                                                                  | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1043086 | PA      | $1030196.48   | 0.03%             | 2063-01-20      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR5, Class E1                                           | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6775000 | PA      | $5651276.14   | 0.15%             | 2038-07-17      | Fixed         | 2.21%                 | Yes           |                  3 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-4, Class 2A1                                           | CUSIP: 576434EK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108851 | PA      | $109713.93    | 0.00%             | 2033-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-85, Class IA                                                                   | CUSIP: 38382FVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22814274 | PA      | $3573922.25   | 0.09%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H02, Class DI                                                                  | CUSIP: 38380LV75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14284374 | PA      | $502809.98    | 0.01%             | 2069-12-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                              | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4592764.00   | 0.12%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J96A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524121 | PA      | $1485507.49   | 0.04%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    463386 | PA      | $445848.08    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    809037 | PA      | $756458.86    | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1121478 | PA      | $1048580.01   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116732 | PA      | $114884.64    | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    985921 | PA      | $921833.78    | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-62, Class SA                                                                   | CUSIP: 38375XHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502335 | PA      | $8297.63      | 0.00%             | 2038-07-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H24, Class FA                                                                  | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1515154 | PA      | $1488197.34   | 0.04%             | 2065-09-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621, Class BO                                                              | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110636 | PA      | $92569.77     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                                                   | TVC Mortgage Trust, Series 2020-RTL1, Class A1                                                   | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2198056 | PA      | $2189188.15   | 0.06%             | 2024-09-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291USW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148233 | PA      | $150769.82    | 0.00%             | 2037-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WQ                                                             | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276822 | PA      | $220186.12    | 0.01%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M12, Class 2A2                                                            | CUSIP: 3136BHNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4055097.50   | 0.11%             | 2033-05-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  50000000 | PA      | $50567608.50  | 1.31%             | 2052-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K73, Class B                                                   | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1051846.01   | 0.03%             | 2051-02-25      | Variable      | 3.99%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 1A1                        | CUSIP: 22541Q3U4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    112252 | PA      | $105009.97    | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-105, Class ME                                                           | CUSIP: 31396LUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553238 | PA      | $564230.20    | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36182NRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273288 | PA      | $276533.98    | 0.01%             | 2034-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149224 | PA      | $8622.03      | 0.00%             | 2039-09-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                  | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27461 | PA      | $23994.51     | 0.00%             | 2034-04-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17025 | PA      | $17423.34     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6896503 | PA      | $5938359.18   | 0.15%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7EP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153371 | PA      | $155306.34    | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    661034 | PA      | $638311.76    | 0.02%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class SH                                                                  | CUSIP: 38382KCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22714069 | PA      | $749502.95    | 0.02%             | 2050-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2359, Class ZB                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27313 | PA      | $29752.38     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KLAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6167707 | PA      | $5871234.79   | 0.15%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    772787 | PA      | $715495.53    | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8705485 | PA      | $7716390.06   | 0.20%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K59, Class B                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1902000 | PA      | $1757158.33   | 0.05%             | 2049-11-25      | Variable      | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31414HWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14885 | PA      | $14595.19     | 0.00%             | 2038-01-01      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47228 | PA      | $48832.49     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595572 | PA      | $596225.11    | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981034 | PA      | $963477.17    | 0.02%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-71, Class SC                                                                   | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29608 | PA      | $963.00       | 0.00%             | 2038-08-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5080000 | PA      | $4991464.24   | 0.13%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LWS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2822510 | PA      | $2821878.65   | 0.07%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2014-SFR2, Class D                                           | CUSIP: 02665UAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4085000 | PA      | $3933409.33   | 0.10%             | 2036-10-17      | Fixed         | 5.15%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3316, Class JO                                                              | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10163 | PA      | $7786.34      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                   | MRA Issuance Trust, Series 2021-EBO2, Class A                                                    | CUSIP: 55351BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9930408 | PA      | $9521274.97   | 0.25%             | 2023-04-05      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class MA                                                                  | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6871 | PA      | $6736.97      | 0.00%             | 2062-04-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-100, Class SM                                                           | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186604 | PA      | $18783.26     | 0.00%             | 2037-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13                               | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180837 | PA      | $100643.35    | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610500 | PA      | $622012.50    | 0.02%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857473 | PA      | $801752.39    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1862514 | PA      | $1741501.17   | 0.05%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915324 | PA      | $878218.46    | 0.02%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M34Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3242144 | PA      | $3125393.86   | 0.08%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1379625 | PA      | $1402226.94   | 0.04%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4562288 | PA      | $4238067.65   | 0.11%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4405110 | PA      | $4333374.67   | 0.11%             | 2032-09-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58                                                                      | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109642 | PA      | $91499.23     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32053 | PA      | $32673.17     | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2545111 | PA      | $2373385.26   | 0.06%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-112, Class SA                                                           | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570692 | PA      | $62430.12     | 0.00%             | 2037-12-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1980811 | PA      | $1840410.45   | 0.05%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11270287 | PA      | $9424275.18   | 0.24%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3537, Class MI                                                              | CUSIP: 31398CR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260700 | PA      | $38982.74     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2015-SFR2, Class E                                           | CUSIP: 02666BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4090319.10   | 0.11%             | 2052-10-17      | Fixed         | 6.07%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-137, Class WA                                                                  | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1130361 | PA      | $1185502.22   | 0.03%             | 2040-07-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                        | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28570 | PA      | $27099.90     | 0.00%             | 2036-09-25      | Variable      | 3.57%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class JO                                                            | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65482 | PA      | $54083.57     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10687 | PA      | $10615.68     | 0.00%             | 2036-10-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4015, Class MY                                                              | CUSIP: 3137ANDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965742 | PA      | $911366.49    | 0.02%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-36, Class ZB                                                            | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14343 | PA      | $14603.16     | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1162578 | PA      | $1151268.09   | 0.03%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M3, Class A2                                                              | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105009 | PA      | $1018191.32   | 0.03%             | 2030-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31384VRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2933 | PA      | $2929.05      | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975629 | PA      | $1847146.98   | 0.05%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2020-HB4, Class A                                                               | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2992345 | PA      | $2890993.73   | 0.07%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204804 | PA      | $213393.93    | 0.01%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2317254 | PA      | $2350453.79   | 0.06%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IP                                                                  | CUSIP: 38380QB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41957692 | PA      | $1326510.90   | 0.03%             | 2071-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2184235 | PA      | $2042284.88   | 0.05%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296Q5N6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16369 | PA      | $16757.47     | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class AO                                                            | CUSIP: 31394FVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15546 | PA      | $13890.48     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2347812 | PA      | $2257639.65   | 0.06%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 331, Class 13                                                               | CUSIP: 3136FAXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85886 | PA      | $13458.23     | 0.00%             | 2032-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1424971 | PA      | $1412964.49   | 0.04%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2014-SFR2, Class E                                           | CUSIP: 02665UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1462008.75   | 0.04%             | 2036-10-17      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21329 | PA      | $20950.78     | 0.00%             | 2036-12-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2533310 | PA      | $2433333.86   | 0.06%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3626384 | PA      | $3328599.25   | 0.09%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2256, Class MC                                                              | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25543 | PA      | $27144.63     | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2210, Class Z                                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27669 | PA      | $29621.26     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30570 | PA      | $30956.63     | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-88, Class VI                                                            | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95691 | PA      | $9268.25      | 0.00%             | 2037-09-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5059419 | PA      | $4962284.77   | 0.13%             | 2031-01-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837830 | PA      | $840727.12    | 0.02%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14236 | PA      | $14771.19     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1570, Class SA                                                              | CUSIP: 3133T0QB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       460 | PA      | $458.06       | 0.00%             | 2023-08-15      | Floating      | 21.86%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       595 | PA      | $604.80       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-103, Class MB                                                           | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362764 | PA      | $363031.42    | 0.01%             | 2039-12-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-49, Class SC                                                            | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159274 | PA      | $154899.17    | 0.00%             | 2040-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR2, Class E1                                           | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $7731226.80   | 0.20%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2675595 | PA      | $2521285.42   | 0.07%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A1                                                             | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203577 | PA      | $187672.34    | 0.00%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834685 | PA      | $756826.67    | 0.02%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230US26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163488 | PA      | $1128056.23   | 0.03%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                              | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1361677 | PA      | $52564.69     | 0.00%             | 2035-07-25      | Floating      | 0.71%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-86, Class OB                                                            | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87568 | PA      | $70137.13     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060000 | PA      | $5680962.03   | 0.15%             | 2029-01-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0NZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3213645 | PA      | $2911655.23   | 0.08%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8972275 | PA      | $8507064.99   | 0.22%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95602 | PA      | $98667.97     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2694, Class BA                                                              | CUSIP: 31394LJU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6430 | PA      | $6320.40      | 0.00%             | 2031-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1757179 | PA      | $1674067.39   | 0.04%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-18, Class MZ                                                            | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197163 | PA      | $198683.64    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M3, Class 1A1                                                             | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2013392 | PA      | $1876799.78   | 0.05%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1472448 | PA      | $1501988.00   | 0.04%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4177, Class MQ                                                              | CUSIP: 3137B16U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $859402.50    | 0.02%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1863, Class Z                                                               | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6683 | PA      | $6701.65      | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H24, Class FG                                                                  | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17253 | PA      | $16893.68     | 0.00%             | 2060-04-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-11, Class 15PO                                     | CUSIP: 55265K2Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1 | PA      | $0.00         | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-63, Class ZH                                                            | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143145 | PA      | $151325.55    | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-68, Class PG                                                            | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147415 | PA      | $149332.72    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9GD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1454368 | PA      | $1454042.83   | 0.04%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2783395 | PA      | $2523543.83   | 0.07%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-7F, Class 1A4                                               | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99273 | PA      | $96088.67     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2014-FRR5, Class AK30                                               | CUSIP: 05525HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4342661.55   | 0.11%             | 2045-06-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2571, Class SK                                                              | CUSIP: 31393LAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1389 | PA      | $1384.16      | 0.00%             | 2023-09-15      | Floating      | 17.80%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32847 | PA      | $32683.20     | 0.00%             | 2034-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class E                                           | CUSIP: 43731QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3521181 | PA      | $3007444.99   | 0.08%             | 2039-09-17      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                 | Pretium Mortgage Credit Partners LLC, Series 2022-NPL1, Class A1                                 | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4116756 | PA      | $3704970.99   | 0.10%             | 2052-01-25      | Variable      | 2.98%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H13, Class DF                                                                  | CUSIP: 38380LHW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3447347 | PA      | $3359102.12   | 0.09%             | 2068-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-74, Class SH                                                            | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23342 | PA      | $21600.50     | 0.00%             | 2033-08-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11857355 | PA      | $11060622.93  | 0.29%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26774 | PA      | $26932.14     | 0.00%             | 2037-07-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6430000 | PA      | $6453707.22   | 0.17%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                             | PFP Ltd., Series 2021-7, Class B                                                                 | CUSIP: 69290LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7099646 | PA      | $6616287.63   | 0.17%             | 2038-04-14      | Floating      | 5.30%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class MO                                                              | CUSIP: 31397F6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35090 | PA      | $29455.36     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H07, Class DI                                                                  | CUSIP: 38380L7Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28838786 | PA      | $1429048.37   | 0.04%             | 2070-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A1                                       | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156683 | PA      | $159019.03    | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629554 | PA      | $656730.19    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4937524 | PA      | $4640881.50   | 0.12%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-79, Class DO                                                            | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70472 | PA      | $61798.02     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-99, Class PT                                                                   | CUSIP: 38380F3R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783945 | PA      | $822943.26    | 0.02%             | 2044-08-20      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2517, Class Z                                                               | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30419 | PA      | $29645.53     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-50, Class VZ                                                            | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942571 | PA      | $957230.36    | 0.02%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833410 | PA      | $800061.53    | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FCZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214085 | PA      | $1135951.79   | 0.03%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3300418 | PA      | $3280798.02   | 0.08%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WA                                                            | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453055 | PA      | $465777.05    | 0.01%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HBQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2432221 | PA      | $2346784.33   | 0.06%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X1                | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  98155764 | PA      | $4057356.84   | 0.11%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2306, Class SE                                                              | CUSIP: 3133TSK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3436 | PA      | $132.61       | 0.00%             | 2024-05-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16558 | PA      | $14961.79     | 0.00%             | 2033-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29494 | PA      | $29074.10     | 0.00%             | 2035-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149916 | PA      | $157017.52    | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K9BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635292 | PA      | $1649966.45   | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246093 | PA      | $249922.29    | 0.01%             | 2049-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-95, Class HI                                                                   | CUSIP: 38382GY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11038765 | PA      | $1918505.41   | 0.05%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1643808 | PA      | $1554259.61   | 0.04%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2019-SFR4, Class E                                            | CUSIP: 74331AAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1325000 | PA      | $1241349.44   | 0.03%             | 2036-10-17      | Fixed         | 3.44%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1512481 | PA      | $1453837.65   | 0.04%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HSAW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2391046 | PA      | $2329298.80   | 0.06%             | 2028-09-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1951434 | PA      | $1824636.99   | 0.05%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WHHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944253 | PA      | $883784.19    | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    764996 | PA      | $797029.73    | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                  | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $7724002.68   | 0.20%             | 2054-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2089, Class PJ                                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4074 | PA      | $334.81       | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BESR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1066968 | PA      | $1063099.02   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30912 | PA      | $30778.35     | 0.00%             | 2037-11-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class PI                                                           | CUSIP: 31393UUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18900 | PA      | $962.69       | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-32, Class SD                                                            | CUSIP: 3136B4XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4151485 | PA      | $357892.44    | 0.01%             | 2049-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347633 | PA      | $269442.01    | 0.01%             | 2035-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336264 | PA      | $322499.57    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3262, Class SG                                                              | CUSIP: 31397EMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16792 | PA      | $897.55       | 0.00%             | 2037-01-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35029 | PA      | $34881.61     | 0.00%             | 2034-10-01      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QX                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16010 | PA      | $1325.22      | 0.00%             | 2032-02-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-10, Class S                                                                    | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79018 | PA      | $2733.13      | 0.00%             | 2038-02-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5250236 | PA      | $4896489.22   | 0.13%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1370579 | PA      | $1281517.86   | 0.03%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2259, Class ZM                                                              | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32868 | PA      | $34641.33     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-46, Class AO                                                                   | CUSIP: 38374G5Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62266 | PA      | $51393.64     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225AWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138550 | PA      | $143136.29    | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                                        | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class A                                          | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5488112 | PA      | $5325521.65   | 0.14%             | 2037-12-18      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $12798437.60  | 0.33%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family ML Certificates                                   | FHLMC Multi-Family ML Certificates, Series 2021-ML09, Class XUS                                  | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56674848 | PA      | $7515073.56   | 0.19%             | 2040-02-25      | Variable      | 1.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-79, Class SB                                                            | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20722 | PA      | $22763.80     | 0.00%             | 2037-08-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258706 | PA      | $1246713.83   | 0.03%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461775 | PA      | $475671.11    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class HO                                                                   | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7745 | PA      | $6964.14      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H09, Class HA                                                                  | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32324 | PA      | $30200.00     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-123, Class FL                                                           | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49200 | PA      | $48536.47     | 0.00%             | 2040-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A6                                  | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     17455 | PA      | $15483.17     | 0.00%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class QI                                                                  | CUSIP: 38380QR53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41850291 | PA      | $1001184.50   | 0.03%             | 2071-04-20      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1960210 | PA      | $1948638.18   | 0.05%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H05, Class FB                                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3764 | PA      | $3669.02      | 0.00%             | 2062-02-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36241KHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66263 | PA      | $69387.66     | 0.00%             | 2032-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class KI                                                                   | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335315 | PA      | $28849.79     | 0.00%             | 2035-09-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                  | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2513567 | PA      | $250794.91    | 0.01%             | 2037-08-25      | Floating      | 1.61%                 | No            |                  3 | On Loan: No      |
| Forest Park Mhc  sep32                                               | Forest Park Mhc  sep32                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1041969.74   | 0.03%             | 2032-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                           | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                            | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28399 | PA      | $27235.69     | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1354826 | PA      | $1258931.76   | 0.03%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5149414 | PA      | $4653089.87   | 0.12%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                               | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18903 | PA      | $17046.64     | 0.00%             | 2034-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513422 | PA      | $520792.20    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3152, Class MO                                                              | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139902 | PA      | $117996.21    | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4014180 | PA      | $3752797.45   | 0.10%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HNPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1853056 | PA      | $1867694.19   | 0.05%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T7, Class A1                                        | CUSIP: 31359S6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241168 | PA      | $258074.76    | 0.01%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M2S, Class A1                                                             | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2895751.20   | 0.07%             | 2032-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2513, Class ZC                                                              | CUSIP: 31392XEX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67996 | PA      | $69646.79     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3153, Class EO                                                              | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62552 | PA      | $52422.61     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                   | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    152865 | PA      | $145746.44    | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353387 | PA      | $315319.57    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZD                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80586 | PA      | $83406.61     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                            | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175052 | PA      | $163487.41    | 0.00%             | 2035-03-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class IP                                                            | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117556 | PA      | $22203.25     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class 1A1                                                            | CUSIP: 3136BBTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8150657 | PA      | $7171507.38   | 0.19%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $18053711.00  | 0.47%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291HDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2832 | PA      | $2834.43      | 0.00%             | 2023-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                                   | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11034230 | PA      | $10594296.76  | 0.27%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14176 | PA      | $13865.44     | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3M34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2470165 | PA      | $2388978.83   | 0.06%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637236 | PA      | $1530845.06   | 0.04%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2021-HB5, Class M2                                                              | CUSIP: 12526PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8294777.10   | 0.21%             | 2031-02-25      | Variable      | 1.85%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456675 | PA      | $1417153.74   | 0.04%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-39, Class EF                                                            | CUSIP: 31396VSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23809 | PA      | $23250.72     | 0.00%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351693 | PA      | $331018.07    | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35504 | PA      | $35199.54     | 0.00%             | 2036-11-01      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370507 | PA      | $374078.46    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727088 | PA      | $679841.02    | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                           | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019313 | PA      | $61940.58     | 0.00%             | 2036-04-25      | Variable      | 2.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3880935 | PA      | $4007468.34   | 0.10%             | 2032-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2086262 | PA      | $1991499.29   | 0.05%             | 2046-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2020-RTL1, Class A1                                                 | CUSIP: 50201TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254526 | PA      | $254526.48    | 0.01%             | 2024-10-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8240000 | PA      | $7824001.13   | 0.20%             | 2032-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class ES                                                            | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254135 | PA      | $199018.68    | 0.01%             | 2037-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LY4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    463600 | PA      | $445623.83    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class QB                                                            | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41640 | PA      | $42415.73     | 0.00%             | 2034-05-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206260 | PA      | $199421.90    | 0.01%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 128575470 | PA      | $9284717.56   | 0.24%             | 2035-10-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23312 | PA      | $24949.90     | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 1AP                                               | CUSIP: 3623418L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46860 | PA      | $27336.63     | 0.00%             | 2036-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                   | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                     | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180496 | PA      | $154776.59    | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class AM                  | CUSIP: 3137F1G51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993000 | PA      | $947962.98    | 0.02%             | 2027-05-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2125, Class JZ                                                              | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13026 | PA      | $13095.36     | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4377, Class JP                                                              | CUSIP: 3137BDCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2565404 | PA      | $2388229.86   | 0.06%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-R1                                                                  | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923593 | PA      | $854323.96    | 0.02%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1814333 | PA      | $1747451.32   | 0.05%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class IA                                                                  | CUSIP: 38380QK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18597211 | PA      | $506160.30    | 0.01%             | 2071-03-20      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AWN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631147 | PA      | $568636.81    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LKPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4276911 | PA      | $4112054.79   | 0.11%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10863 | PA      | $11257.43     | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204375 | PA      | $198063.35    | 0.01%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class 2A1                                                            | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892356 | PA      | $774394.64    | 0.02%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4399897 | PA      | $4497890.61   | 0.12%             | 2071-11-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108841 | PA      | $120150.41    | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-37, Class Z                                                             | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8087 | PA      | $8304.83      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418M3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $86.02        | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18436 | PA      | $18323.16     | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70448 | PA      | $69101.40     | 0.00%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2552, Class FP                                                              | CUSIP: 31393HUX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407528 | PA      | $411170.53    | 0.01%             | 2033-01-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3042699 | PA      | $2945975.65   | 0.08%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116907 | PA      | $114063.75    | 0.00%             | 2034-08-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18033119 | PA      | $16936011.94  | 0.44%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 1999-4, Class ZB                                                                    | CUSIP: 3837H1U90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35852 | PA      | $35768.71     | 0.00%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3614, Class QB                                                              | CUSIP: 31398LKA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258411 | PA      | $255290.11    | 0.01%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-1, Class WA                                                             | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483591 | PA      | $498909.73    | 0.01%             | 2040-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148241 | PA      | $145494.38    | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46033 | PA      | $45019.57     | 0.00%             | 2036-11-01      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404R3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10361 | PA      | $10169.83     | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       789 | NC      | $701046.23    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3836465 | PA      | $3522142.16   | 0.09%             | 2050-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-106, Class US                                                           | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80366 | PA      | $83826.04     | 0.00%             | 2035-11-25      | Floating      | 9.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2163, Class PC                                                              | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3770 | PA      | $328.33       | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                         | BB-UBS Trust, Series 2012-SHOW, Class A                                                          | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $3806105.03   | 0.10%             | 2036-11-05      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372430 | PA      | $375245.07    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-53, Class SW                                                                   | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21421 | PA      | $22189.80     | 0.00%             | 2037-09-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837239 | PA      | $736167.73    | 0.02%             | 2045-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class B                                                  | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6041207.25   | 0.16%             | 2026-07-25      | Variable      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-43, Class WA                                                            | CUSIP: 31397S5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92764 | PA      | $92345.99     | 0.00%             | 2051-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                              | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54942 | PA      | $26393.02     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                               | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127327 | PA      | $125498.15    | 0.00%             | 2046-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| ANTLR Mortgage Trust                                                 | ANTLR Mortgage Trust, Series 2021-RTL1, Class A1                                                 | CUSIP: 00201QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8453000 | PA      | $7999073.90   | 0.21%             | 2024-11-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12383248 | PA      | $11131771.83  | 0.29%             | 2071-12-20      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| He Paddocks of Sar  nov32                                            | He Paddocks of Sar  nov32                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4120816.11   | 0.11%             | 2032-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2464, Class FE                                                              | CUSIP: 31392MW81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71300 | PA      | $71784.67     | 0.00%             | 2032-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 239, Class S30                                                             | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248112 | PA      | $35627.72     | 0.00%             | 2036-08-15      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74765 | PA      | $75182.49     | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freedom Frn                                                          | Freedom Frn                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   7560000 | PA      | $7418628.00   | 0.19%             | 2023-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2399, Class TH                                                              | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84652 | PA      | $88156.75     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-20                                                                      | CUSIP: 31359N4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       662 | PA      | $5.38         | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1570801 | PA      | $1469131.09   | 0.04%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MC                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24324 | PA      | $25677.23     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-86, Class ZA                                                            | CUSIP: 31393EF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141518 | PA      | $143975.81    | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1789840 | PA      | $1673508.07   | 0.04%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H08, Class XI                                                                  | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3991769 | PA      | $209567.88    | 0.01%             | 2067-03-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 262, Class 35                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6667420 | PA      | $6298784.32   | 0.16%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class X1                                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1984450 | PA      | $149250.07    | 0.00%             | 2030-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617VUE29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11646335 | PA      | $12037664.70  | 0.31%             | 2071-11-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1383331 | PA      | $1324546.54   | 0.03%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11853464 | PA      | $10895710.29  | 0.28%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                  | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562144 | PA      | $562693.28    | 0.01%             | 2044-10-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292H4U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49599 | PA      | $48609.18     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1226096 | PA      | $1075691.64   | 0.03%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254129 | PA      | $235370.88    | 0.01%             | 2034-10-19      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-1, Class A1                                                                | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10668939 | PA      | $9891697.91   | 0.26%             | 2026-01-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2015-M7, Class A2                                                              | CUSIP: 3136ANLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814229 | PA      | $778709.47    | 0.02%             | 2024-12-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1489144 | PA      | $1345603.02   | 0.03%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                               | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1                               | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6356162 | PA      | $5739548.40   | 0.15%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1466, Class PZ                                                              | CUSIP: 312914MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       496 | PA      | $495.64       | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 365, Class 8                                                                | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127957 | PA      | $27805.79     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1624997 | PA      | $1598539.39   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1683309 | PA      | $1677885.77   | 0.04%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class HO                                                            | CUSIP: 31396KJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22803 | PA      | $20990.12     | 0.00%             | 2026-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1G, Class A2                                                             | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17600000 | PA      | $14030037.12  | 0.36%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class SJ                                                            | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71390 | PA      | $2012.21      | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43417 | PA      | $43605.46     | 0.00%             | 2036-06-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1581165 | PA      | $1523893.26   | 0.04%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58690 | PA      | $58024.34     | 0.00%             | 2035-04-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31293EAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       837 | PA      | $856.90       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-58, Class WA                                                            | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358297 | PA      | $362072.92    | 0.01%             | 2051-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-SAT1                                                          | CUSIP: 30259RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $14347500.00  | 0.37%             | 2024-02-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358659 | PA      | $1309636.73   | 0.03%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H08, Class FC                                                                  | CUSIP: 38375BQS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278222 | PA      | $1267346.86   | 0.03%             | 2062-04-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                         | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79311 | PA      | $76595.38     | 0.00%             | 2033-09-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209534 | PA      | $218906.40    | 0.01%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OK                                                              | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72494 | PA      | $60592.33     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                          | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31064 | PA      | $28620.35     | 0.00%             | 2037-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2021-RTL1, Class A1                                                 | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4805000 | PA      | $4528178.18   | 0.12%             | 2026-09-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389949 | PA      | $1299616.46   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class B                                                                 | CUSIP: 55400EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1191501 | PA      | $1092044.93   | 0.03%             | 2037-10-20      | Fixed         | 2.73%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class HI                                                                  | CUSIP: 38380QWE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49897903 | PA      | $1123979.70   | 0.03%             | 2071-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class B                                | CUSIP: 82652NAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2090828 | PA      | $1957821.15   | 0.05%             | 2036-08-20      | Fixed         | 2.75%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621                                                                        | CUSIP: 31398W2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170578 | PA      | $135072.36    | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1699, Class FC                                                              | CUSIP: 3133T4J72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       600 | PA      | $600.42       | 0.00%             | 2024-03-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1335272 | PA      | $1278533.16   | 0.03%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97502 | PA      | $97749.36     | 0.00%             | 2036-09-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1YK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    606606 | PA      | $610351.02    | 0.02%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                            | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                             | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2760358.92   | 0.07%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-6, Class 2A7                                          | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97006 | PA      | $79904.88     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2021-HB5, Class A                                                               | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16981471 | PA      | $16303939.15  | 0.42%             | 2031-02-25      | Variable      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52843 | PA      | $52579.22     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033802 | PA      | $967846.58    | 0.03%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class GP                                                            | CUSIP: 31397MRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10134 | PA      | $10411.71     | 0.00%             | 2038-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018120 | PA      | $1048434.54   | 0.03%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACR                                                                  | ACR                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9325000.00   | 0.24%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2699897 | PA      | $2480365.98   | 0.06%             | 2050-06-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class MB                                                              | CUSIP: 31397GU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37746 | PA      | $39337.06     | 0.00%             | 2034-07-15      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class JI                                                                  | CUSIP: 38380QSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 120472121 | PA      | $3872761.86   | 0.10%             | 2070-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    730468 | PA      | $743736.06    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2948660 | PA      | $2900831.05   | 0.08%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                               | Harvest SBA Loan Trust, Series 2021-1, Class A                                                   | CUSIP: 41756HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4269441 | PA      | $4187552.83   | 0.11%             | 2048-04-25      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GTFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2882215 | PA      | $2794808.68   | 0.07%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1475148 | PA      | $1336603.78   | 0.03%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GK                                                            | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11425 | PA      | $11834.44     | 0.00%             | 2026-10-25      | Floating      | 13.17%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1727613 | PA      | $1604605.84   | 0.04%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14178 | PA      | $14342.27     | 0.00%             | 2036-09-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122866 | PA      | $1078195.30   | 0.03%             | 2051-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3997267 | PA      | $3966666.24   | 0.10%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1578, Class V                                                               | CUSIP: 3133T0L85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       254 | PA      | $4.77         | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NBU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13871 | PA      | $14072.97     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class ES                                                            | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129121 | PA      | $131461.98    | 0.00%             | 2035-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LD2J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3753220 | PA      | $3396279.71   | 0.09%             | 2031-05-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1938081 | PA      | $1822329.00   | 0.05%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CGP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315 | PA      | $315.96       | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8588475 | PA      | $7955484.17   | 0.21%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76072 | PA      | $79956.23     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1994-37, Class L                                                             | CUSIP: 31359GP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2340 | PA      | $2343.73      | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    828309 | PA      | $793114.63    | 0.02%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2254, Class Z                                                               | CUSIP: 3133TPUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78642 | PA      | $86363.06     | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2208311 | PA      | $2176409.93   | 0.06%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H04, Class FE                                                                  | CUSIP: 38380VPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161034 | PA      | $1125951.93   | 0.03%             | 2068-02-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WN                                                             | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015013 | PA      | $101153.73    | 0.00%             | 2036-03-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143484 | PA      | $138179.98    | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-10, Class 1A1                                          | CUSIP: 576434VU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2202 | PA      | $2068.81      | 0.00%             | 2019-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1798, Class F                                                               | CUSIP: 3133T6MS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       877 | PA      | $873.61       | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-68, Class DZ                                                            | CUSIP: 3136B2K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267811 | PA      | $1188740.48   | 0.03%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4052840 | PA      | $3789456.32   | 0.10%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136027 | PA      | $140204.95    | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8358349 | PA      | $8744350.30   | 0.23%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class DT                                                              | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498442 | PA      | $539623.56    | 0.01%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-39, Class ZA                                                            | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724414 | PA      | $745796.71    | 0.02%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13095 | PA      | $13294.42     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-4, Class ZA                                                             | CUSIP: 31359SFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126880 | PA      | $130456.90    | 0.00%             | 2031-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1397433 | PA      | $1265301.97   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7306017.87   | 0.19%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 5A4                        | CUSIP: 22541QP89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7706 | PA      | $7368.97      | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507282 | PA      | $500405.13    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1676981 | PA      | $1615751.39   | 0.04%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK45                                     | CUSIP: 12529YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8768190.00   | 0.23%             | 2025-02-28      | Variable      | 2.10%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-2A, Class A                                                      | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    675348 | PA      | $655772.50    | 0.02%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class DI                                                                  | CUSIP: 38380QUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27511623 | PA      | $1325302.55   | 0.03%             | 2070-12-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2720, Class PC                                                              | CUSIP: 31394MYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13866 | PA      | $13791.31     | 0.00%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    693729 | PA      | $666614.02    | 0.02%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1                               | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234808 | PA      | $233102.32    | 0.01%             | 2034-12-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-3                                                  | CUSIP: 55265K8G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3229 | PA      | $2333.00      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Orange Lake Timeshare Trust                                          | Orange Lake Timeshare Trust, Series 2019-A, Class C                                              | CUSIP: 68504UAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2138608 | PA      | $2009853.52   | 0.05%             | 2038-04-09      | Fixed         | 3.61%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                    | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     13078 | PA      | $12429.28     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-43, Class FD                                                            | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189617 | PA      | $187843.26    | 0.00%             | 2040-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3108198 | PA      | $2851611.40   | 0.07%             | 2050-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418WQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146105 | PA      | $145998.93    | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4136, Class HS                                                              | CUSIP: 3137AWH65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352813 | PA      | $223564.57    | 0.01%             | 2042-11-15      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34000 | PA      | $34724.54     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4159606 | PA      | $3863343.58   | 0.10%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FANE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355449 | PA      | $332341.28    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                        | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                        | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8304660 | PA      | $7389826.45   | 0.19%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-15, Class MO                                                            | CUSIP: 31394CVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82201 | PA      | $64869.36     | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K137, Class AM                  | CUSIP: 3137H5DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12500000 | PA      | $10210667.50  | 0.26%             | 2031-12-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $7552363.80   | 0.20%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NUEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5205 | PA      | $5117.08      | 0.00%             | 2037-10-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118692 | PA      | $116814.03    | 0.00%             | 2041-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class IE                                                                  | CUSIP: 38380LZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33167516 | PA      | $332736.52    | 0.01%             | 2069-05-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3860, Class PZ                                                              | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3195259 | PA      | $3218086.15   | 0.08%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1S, Class A2                                                             | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22730000 | PA      | $18747754.01  | 0.49%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K50, Class B                                                   | CUSIP: 30293WAE2<br>LEI: 549300R3J0I74BM2LZ86 | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $1993451.04   | 0.05%             | 2048-10-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2967, Class S                                                               | CUSIP: 31395TC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5890 | PA      | $5336.65      | 0.00%             | 2025-04-15      | Floating      | 12.52%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4580, Class PT                                                              | CUSIP: 3137BPNP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723229 | PA      | $751300.53    | 0.02%             | 2039-08-15      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HDK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338754 | PA      | $1286227.20   | 0.03%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123315 | PA      | $127914.86    | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2011431 | PA      | $1889422.66   | 0.05%             | 2041-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3917149 | PA      | $3704403.02   | 0.10%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2015883 | PA      | $1768713.77   | 0.05%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                     | IndyMac INDX Mortgage Loan Trust, Series 2006-AR3, Class 2A1A                                    | CUSIP: 45660L5S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73062 | PA      | $50809.96     | 0.00%             | 2036-03-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA6, Class NB2                                                           | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36430 | PA      | $31536.54     | 0.00%             | 2034-12-26      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2022-SFR1, Class E1                                             | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5669000 | PA      | $5193249.02   | 0.13%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1406109 | PA      | $1424768.27   | 0.04%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1372360 | PA      | $1394319.72   | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2018-3A, Class C                                | CUSIP: 82653GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169845 | PA      | $164927.53    | 0.00%             | 2035-09-20      | Fixed         | 4.17%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7627338 | PA      | $7875626.18   | 0.20%             | 2059-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2042160 | PA      | $2065046.88   | 0.05%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2283, Class K                                                               | CUSIP: 3133TRJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1884 | PA      | $1886.46      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361659 | PA      | $345728.41    | 0.01%             | 2040-08-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3035, Class Z                                                               | CUSIP: 31396ANL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567246 | PA      | $580342.91    | 0.02%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3143266 | PA      | $2939815.97   | 0.08%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class NT                                                           | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709966 | PA      | $754548.59    | 0.02%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1295498 | PA      | $1211291.71   | 0.03%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3102889 | PA      | $2804506.68   | 0.07%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                          | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18755 | PA      | $18954.06     | 0.00%             | 2042-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5470050 | PA      | $5082261.32   | 0.13%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1409665 | PA      | $1355634.97   | 0.04%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403NKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18967 | PA      | $18178.55     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IJ                                                                  | CUSIP: 38380QNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11295877 | PA      | $339424.82    | 0.01%             | 2070-10-20      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Rillion Capital Iii Frn                                              | Rillion Capital Iii Frn                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   8050955 | PA      | $8050955.00   | 0.21%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class FH                                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693412 | PA      | $695040.55    | 0.02%             | 2032-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-36, Class SH                                                            | CUSIP: 3136B94B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13342111 | PA      | $1761224.05   | 0.05%             | 2050-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2022-SFR3, Class E1                                                           | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181000 | PA      | $6782960.36   | 0.18%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7229470 | PA      | $7539762.96   | 0.20%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H11, Class XI                                                                  | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10321578 | PA      | $508854.83    | 0.01%             | 2067-05-20      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31415P6U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81425 | PA      | $86028.20     | 0.00%             | 2036-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193160 | PA      | $214099.86    | 0.01%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2019-3, Class M2                                               | CUSIP: 89177LAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550000 | PA      | $6052473.36   | 0.16%             | 2059-02-25      | Variable      | 4.25%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2436, Class MC                                                              | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36801 | PA      | $38064.85     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1285088 | PA      | $1201575.19   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WGW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1403369 | PA      | $1313493.41   | 0.03%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO3                                    | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     11461 | PA      | $7845.39      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90083 | PA      | $90970.95     | 0.00%             | 2034-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2611327 | PA      | $2669076.32   | 0.07%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388R7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22049 | PA      | $22027.87     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4216534 | PA      | $4372324.95   | 0.11%             | 2058-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                               | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43024 | PA      | $40764.50     | 0.00%             | 2034-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-53, Class FX                                                            | CUSIP: 313921XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144616 | PA      | $143124.89    | 0.00%             | 2031-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR2, Class E1                                           | CUSIP: 74333DAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9550000 | PA      | $7988765.05   | 0.21%             | 2038-04-19      | Fixed         | 2.55%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1940708 | PA      | $1965161.27   | 0.05%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                               | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169328 | PA      | $166890.91    | 0.00%             | 2036-06-27      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HRQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2812667.73   | 0.07%             | 2033-10-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1638, Class H                                                               | CUSIP: 3133T2W48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10523 | PA      | $10559.83     | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366880 | PA      | $349328.96    | 0.01%             | 2037-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22006 | PA      | $23930.45     | 0.00%             | 2032-02-15      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                               | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4009 | PA      | $4075.70      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A  | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    478781 | PA      | $440143.96    | 0.01%             | 2033-12-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276628 | PA      | $258408.75    | 0.01%             | 2047-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404FQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16903 | PA      | $17160.66     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681354 | PA      | $701548.26    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W4, Class A7                                          | CUSIP: 31393X3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404238 | PA      | $406092.32    | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36904 | PA      | $35897.11     | 0.00%             | 2035-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                          | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90237 | PA      | $87814.20     | 0.00%             | 2042-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-1, Class SD                                                             | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32521 | PA      | $54705.71     | 0.00%             | 2037-02-25      | Floating      | 14.90%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279135 | PA      | $267508.96    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3655500 | PA      | $3300724.11   | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701095 | PA      | $700938.15    | 0.02%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2021-RPL1, Class A1                                                           | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11076167 | PA      | $10367075.23  | 0.27%             | 2060-09-27      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                      | UBS-BAMLL Trust, Series 2012-WRM, Class A                                                        | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95546 | PA      | $95417.51     | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26419 | PA      | $26432.20     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-78, Class BZ                                                            | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65695 | PA      | $69068.13     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                                 | Progress Residential, Series 2021-SFR1, Class D                                                  | CUSIP: 74331FAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3346555.20   | 0.09%             | 2038-04-17      | Fixed         | 1.80%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8367 | PA      | $8526.17      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class E                                                       | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3490982.50   | 0.09%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1023681 | PA      | $995496.19    | 0.03%             | 2050-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16333 | PA      | $16718.76     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2835, Class QO                                                              | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26057 | PA      | $22158.64     | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173286 | PA      | $158237.73    | 0.00%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128944 | PA      | $122875.75    | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class SA                                                            | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129901 | PA      | $9497.54      | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-12                                                                      | CUSIP: 31397NKR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        19 | PA      | $0.13         | 0.00%             | 2024-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-65, Class ST                                                                   | CUSIP: 38381VLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8740974 | PA      | $714271.29    | 0.02%             | 2049-05-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2130, Class QS                                                              | CUSIP: 3133TJP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19187 | PA      | $19498.35     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1530265 | PA      | $1442053.39   | 0.04%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479056 | PA      | $469126.67    | 0.01%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N4MV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106283 | PA      | $1138447.23   | 0.03%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1810841 | PA      | $1804833.42   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2022-A, Class C                                               | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6762763 | PA      | $6269881.95   | 0.16%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2015-1A, Class A                                                      | CUSIP: 42770LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16697 | PA      | $15668.99     | 0.00%             | 2040-09-21      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UTS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280796 | PA      | $270214.68    | 0.01%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831341 | PA      | $796604.86    | 0.02%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371774 | PA      | $1327445.22   | 0.03%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-51, Class SY                                                            | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11868 | PA      | $11068.16     | 0.00%             | 2034-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSRR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4856527 | PA      | $4389463.90   | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29177 | PA      | $31063.93     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122004 | PA      | $114830.34    | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410PMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62498 | PA      | $64494.62     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94110 | PA      | $88345.69     | 0.00%             | 2033-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2341092 | PA      | $2054560.29   | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                              | CUSIP: 3132AD2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2589820 | PA      | $2494372.05   | 0.06%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418UCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59600 | PA      | $62142.13     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716521 | PA      | $692312.55    | 0.02%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607                                                                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246394 | PA      | $199688.41    | 0.01%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50490 | PA      | $51992.98     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3260, Class CS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59816 | PA      | $5522.93      | 0.00%             | 2037-01-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 32                                                               | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111979 | PA      | $22586.84     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2940909 | PA      | $2987969.06   | 0.08%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2020-SFR1, Class E                                            | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6390000 | PA      | $5804365.45   | 0.15%             | 2037-04-17      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1497381 | PA      | $1390816.09   | 0.04%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1157587 | PA      | $1174405.15   | 0.03%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H16, Class FC                                                                  | CUSIP: 38376RWJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4163091 | PA      | $4086280.98   | 0.11%             | 2066-07-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-69, Class CI                                                                   | CUSIP: 38382RUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10930544 | PA      | $1968357.00   | 0.05%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHST3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934827 | PA      | $2727671.05   | 0.07%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1001621 | PA      | $957902.26    | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-165, Class SD                                                           | CUSIP: 31359D4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       111 | PA      | $108.59       | 0.00%             | 2023-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540423 | PA      | $550640.52    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4307729 | PA      | $4011456.32   | 0.10%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258200 | PA      | $1139950.32   | 0.03%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13278 | PA      | $12585.55     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2275959 | PA      | $2089483.24   | 0.05%             | 2050-12-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LKL96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    633011 | PA      | $564642.75    | 0.01%             | 2032-10-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132LAEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    440136 | PA      | $423776.05    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-42, Class S                                                             | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60972 | PA      | $3818.45      | 0.00%             | 2040-05-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3260751 | PA      | $3153726.24   | 0.08%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FUH50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    639840 | PA      | $616272.90    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1032971 | PA      | $954315.71    | 0.02%             | 2040-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-68, Class SA                                                            | CUSIP: 31398TGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353155 | PA      | $19204.87     | 0.00%             | 2040-07-25      | Floating      | 0.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183SX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1158057 | PA      | $1127492.34   | 0.03%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1987, Class PE                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4506 | PA      | $4641.31      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M3, Class X1                                                              | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13310978 | PA      | $1207717.05   | 0.03%             | 2033-11-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2005-2, Class 2M1                                                        | CUSIP: 45254NNL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30544 | PA      | $26084.58     | 0.00%             | 2035-04-25      | Floating      | 4.82%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class TI                                                                  | CUSIP: 38380QB43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35052825 | PA      | $2232864.95   | 0.06%             | 2071-02-20      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2547069 | PA      | $2438847.73   | 0.06%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                                   | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6853809 | PA      | $6155255.42   | 0.16%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-1A, Class A2                                                     | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    642203 | PA      | $608371.67    | 0.02%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2153924 | PA      | $1889839.26   | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1995-2, Class Z                                                              | CUSIP: 31359LMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1323 | PA      | $1346.46      | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WWPY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3364136 | PA      | $3440168.69   | 0.09%             | 2071-10-20      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128643 | PA      | $117109.02    | 0.00%             | 2034-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3385, Class SN                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42654 | PA      | $2899.77      | 0.00%             | 2037-11-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 218, Class 2                                                                | CUSIP: 31364HVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2708 | PA      | $22.12        | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628886 | PA      | $607559.33    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class B                                                                   | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    147690 | PA      | $136847.51    | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BJRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9678297 | PA      | $9304371.76   | 0.24%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-134, Class IH                                                                  | CUSIP: 38382JBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25151824 | PA      | $3555859.26   | 0.09%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2306, Class K                                                               | CUSIP: 3133TSJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1375 | PA      | $1336.39      | 0.00%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCII LLC                                                        | VOLT XCII LLC, Series 2021-NPL1, Class A1                                                        | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3047866 | PA      | $2698610.72   | 0.07%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186742 | PA      | $166506.60    | 0.00%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2970000 | PA      | $2808446.85   | 0.07%             | 2029-01-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class XPT1                | CUSIP: 3137FWGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49649565 | PA      | $1209195.30   | 0.03%             | 2025-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400JBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4200 | PA      | $4294.17      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2021-B, Class A                                                 | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8394978 | PA      | $7679554.09   | 0.20%             | 2066-06-25      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39715 | PA      | $41586.05     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M3, Class A2                                                              | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1433626 | PA      | $1328853.42   | 0.03%             | 2026-12-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06                                                                            | CUSIP: 38380QS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  76451754 | PA      | $3028406.86   | 0.08%             | 2071-04-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-162, Class F                                                            | CUSIP: 31359BM38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       140 | PA      | $140.09       | 0.00%             | 2023-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 12                                                              | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76978 | PA      | $10450.82     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-31, Class K                                                             | CUSIP: 31358T7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        89 | PA      | $89.25        | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                 | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3790446 | PA      | $86020.39     | 0.00%             | 2037-09-25      | Variable      | 0.95%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1053806 | PA      | $1022187.60   | 0.03%             | 2050-10-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1318926 | PA      | $1259812.99   | 0.03%             | 2040-04-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1714280.28   | 0.04%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-47, Class AI                                                                   | CUSIP: 38382EAK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5870121 | PA      | $947760.37    | 0.02%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                         | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174990 | PA      | $167004.83    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $7683984.40   | 0.20%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    889723 | PA      | $893358.48    | 0.02%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8855285 | PA      | $8457077.82   | 0.22%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2204, Class GB                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1395 | PA      | $239.20       | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    718598 | PA      | $691401.75    | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                      | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121797 | PA      | $111174.05    | 0.00%             | 2034-11-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391KA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5536 | PA      | $5524.65      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class BO                                                              | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91198 | PA      | $76952.82     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31401YSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4015 | PA      | $3920.61      | 0.00%             | 2033-07-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 310                                                                        | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    896340 | PA      | $711744.00    | 0.02%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X5YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180225 | PA      | $3122481.97   | 0.08%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4911000 | PA      | $4800297.22   | 0.12%             | 2032-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275421 | PA      | $265639.32    | 0.01%             | 2041-06-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W17, Class 1A7                                               | CUSIP: 31393UAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2199509 | PA      | $2237460.53   | 0.06%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4154699 | PA      | $3806598.18   | 0.10%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2611, Class SQ                                                              | CUSIP: 31393QYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18892 | PA      | $17412.17     | 0.00%             | 2033-05-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3200                                                                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86038 | PA      | $69192.82     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-1, Class 1A                                                  | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146640 | PA      | $132507.58    | 0.00%             | 2033-04-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                         | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO                                          | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47322 | PA      | $28874.71     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NFUP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1430975 | PA      | $1377827.28   | 0.04%             | 2050-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                              | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4405495 | PA      | $4313971.37   | 0.11%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-19, Class IP                                                            | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520646 | PA      | $111915.21    | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140EVJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582367 | PA      | $549486.02    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1972854 | PA      | $1839734.47   | 0.05%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1787676 | PA      | $1729888.67   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777319 | PA      | $793338.63    | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8292 | PA      | $8477.90      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213GR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       926 | PA      | $926.11       | 0.00%             | 2023-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-27, Class J                                                             | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $2120.58      | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    965520 | PA      | $882374.11    | 0.02%             | 2051-03-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2388, Class UZ                                                              | CUSIP: 31339M7J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10157 | PA      | $10824.98     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-79, Class SY                                                                   | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197167 | PA      | $6503.80      | 0.00%             | 2037-12-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                   | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1581726 | PA      | $1362495.08   | 0.04%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2906505 | PA      | $2627004.60   | 0.07%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                              | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1313633 | PA      | $58988.16     | 0.00%             | 2035-11-25      | Floating      | 0.81%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G93-1, Class KA                                                              | CUSIP: 31358R6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.45         | 0.00%             | 2023-01-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3288000 | PA      | $2716144.04   | 0.07%             | 2034-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399420 | PA      | $392773.83    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class IA                                                                   | CUSIP: 38382GWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14721345 | PA      | $2624067.99   | 0.07%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FB                                                            | CUSIP: 31392EUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115004 | PA      | $114866.75    | 0.00%             | 2031-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128MSE71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193789 | PA      | $191892.40    | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106552 | PA      | $1034635.17   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class D                                            | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4555000 | PA      | $4033791.85   | 0.10%             | 2039-04-17      | Fixed         | 4.45%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-188, Class W                                                                   | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    777518 | PA      | $769313.97    | 0.02%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6015832 | PA      | $5560626.30   | 0.14%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30X1                                          | CUSIP: 576434PF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37975 | PA      | $6000.96      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1470, Class F                                                               | CUSIP: 312914LG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $8.90         | 0.00%             | 2023-02-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1575814 | PA      | $1425841.76   | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4512412 | PA      | $4078400.91   | 0.11%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H11, Class GI                                                                  | CUSIP: 38380QCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4622017 | PA      | $199079.98    | 0.01%             | 2067-07-20      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4584983 | PA      | $4409216.98   | 0.11%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class S                                                             | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18055 | PA      | $18621.80     | 0.00%             | 2032-12-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93550 | PA      | $94482.75     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR4, Class E1                                                           | CUSIP: 66981FAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3523215.20   | 0.09%             | 2037-11-17      | Fixed         | 2.21%                 | Yes           |                  3 | On Loan: No      |
| Accelerated Assets LLC                                               | Accelerated Assets LLC, Series 2018-1, Class B                                                   | CUSIP: 00436MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1261489 | PA      | $1200406.62   | 0.03%             | 2033-12-02      | Fixed         | 4.51%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2458595 | PA      | $2486371.32   | 0.06%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                            | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86324 | PA      | $71802.69     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-75, Class WA                                                                   | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348001 | PA      | $351814.69    | 0.01%             | 2040-06-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1037518 | PA      | $1006320.14   | 0.03%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37911 | PA      | $38600.64     | 0.00%             | 2037-03-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class KI                                                                  | CUSIP: 38380LN33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12941942 | PA      | $374022.11    | 0.01%             | 2069-11-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17152 | PA      | $16843.72     | 0.00%             | 2034-04-01      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2671, Class S                                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21192 | PA      | $22070.99     | 0.00%             | 2033-09-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2021-1, Class A                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4096347 | PA      | $3540603.28   | 0.09%             | 2053-04-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671561 | PA      | $1690811.48   | 0.04%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3461, Class LZ                                                              | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64505 | PA      | $66699.12     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1034048 | PA      | $1008206.22   | 0.03%             | 2047-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    721809 | PA      | $733685.81    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cch I 5.125                                                          | Cch I 5.125, Class A                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   8074465 | PA      | $7670741.65   | 0.20%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418SQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228376 | PA      | $1256152.73   | 0.03%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7196321 | PA      | $6908725.62   | 0.18%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11931 | PA      | $12224.26     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134914 | PA      | $125658.97    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404RW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150771 | PA      | $147601.04    | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1591, Class PV                                                              | CUSIP: 3133T1WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5063 | PA      | $5042.28      | 0.00%             | 2023-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2871573 | PA      | $2612545.61   | 0.07%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3373, Class TO                                                              | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77909 | PA      | $62711.27     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                                   | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2532485 | PA      | $2423399.00   | 0.06%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class A                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1758477 | PA      | $1647331.31   | 0.04%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 31416BYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.44         | 0.00%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M1, Class A2                                                              | CUSIP: 3136B3XY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4152124 | PA      | $3973089.55   | 0.10%             | 2028-09-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2014-SFR3, Class D                                           | CUSIP: 02665XAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3537074.11   | 0.09%             | 2036-12-17      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WC                                                                  | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1224533 | PA      | $1182953.17   | 0.03%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-6, Class GS                                                             | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63453 | PA      | $6438.33      | 0.00%             | 2039-02-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2086, Class GB                                                              | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4760 | PA      | $4845.54      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2002-3, Class 1A5                                                    | CUSIP: 161546CW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461770 | PA      | $423539.33    | 0.01%             | 2032-06-25      | Variable      | 5.91%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QALL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5511876 | PA      | $5339576.82   | 0.14%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-50, Class ZA                                                            | CUSIP: 31392DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186672 | PA      | $189920.02    | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXVX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541324 | PA      | $547380.86    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                              | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45879 | PA      | $43400.45     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2014-K39, Class C                                                   | CUSIP: 30292GAQ1<br>LEI: 549300XDUXW4MOV3QH87 | Long             | ABS-MBS          | USGSE             | US        |   3099000 | PA      | $2982530.90   | 0.08%             | 2047-08-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1038648 | PA      | $1033884.33   | 0.03%             | 2050-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165117 | PA      | $173965.05    | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2022-1A, Class B                                                    | CUSIP: 96034JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2872286 | PA      | $2697723.15   | 0.07%             | 2036-08-20      | Fixed         | 2.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JRPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438875 | PA      | $439956.49    | 0.01%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class XPT2                | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45043710 | PA      | $1212274.88   | 0.03%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1211345 | PA      | $1132933.14   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class JO                                                              | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18125 | PA      | $15793.38     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    547095 | PA      | $552610.17    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H09, Class IB                                                                  | CUSIP: 38380LTY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11406699 | PA      | $192761.81    | 0.00%             | 2069-04-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                   | MRA Issuance Trust, Series 2021-EBO7, Class A1X                                                  | CUSIP: 55349H106<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9031934 | PA      | $8207896.83   | 0.21%             | 2023-02-15      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1689540 | PA      | $1699025.84   | 0.04%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1040957 | PA      | $973306.91    | 0.03%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6208144 | PA      | $5959860.41   | 0.15%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1514170 | PA      | $1406847.17   | 0.04%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2279235 | PA      | $2190947.68   | 0.06%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1                                           | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3409401 | PA      | $3398788.39   | 0.09%             | 2059-10-25      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    938258 | PA      | $989688.20    | 0.03%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                   | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                     | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478553 | PA      | $143708.17    | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2042, Class T                                                               | CUSIP: 3133TCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1471 | PA      | $1505.01      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNR71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5776893 | PA      | $5602260.07   | 0.15%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $17816426.06  | 0.46%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class CO                                                                   | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406164 | PA      | $347130.36    | 0.01%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4888, Class AZ                                                              | CUSIP: 3137FM6J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4363074 | PA      | $4153917.32   | 0.11%             | 2048-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22908 | PA      | $22172.82     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1911361.14   | 0.05%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                  | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199736 | PA      | $131356.53    | 0.00%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class ST                                                                  | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455476 | PA      | $25279.23     | 0.00%             | 2038-02-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-81, Class SB                                                            | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108095 | PA      | $6851.36      | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5319615 | PA      | $4984585.10   | 0.13%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125675 | PA      | $123429.86    | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-61, Class WA                                                            | CUSIP: 31398RPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168519 | PA      | $173798.92    | 0.00%             | 2040-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-24, Class Z                                                             | CUSIP: 31359PBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2076 | PA      | $2154.84      | 0.00%             | 2027-04-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WPO2                                   | CUSIP: 17307GCN6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      2673 | PA      | $2156.86      | 0.00%             | 2031-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1682318 | PA      | $1739447.17   | 0.05%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                       | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2696156 | PA      | $2748450.11   | 0.07%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    620672 | PA      | $628769.35    | 0.02%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LES81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7885472 | PA      | $6658410.49   | 0.17%             | 2032-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class EO                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69676 | PA      | $58655.29     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                          | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124643 | PA      | $121454.19    | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816325 | PA      | $784672.32    | 0.02%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class C                                                                 | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794334 | PA      | $736084.82    | 0.02%             | 2037-10-20      | Fixed         | 4.21%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4709 | PA      | $4815.71      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 191                                                                        | CUSIP: 31282YCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235784 | PA      | $29082.91     | 0.00%             | 2028-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-86CB, Class A11                                              | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    201831 | PA      | $128304.71    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-2A, Class A1                                                     | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    957207 | PA      | $884915.36    | 0.02%             | 2048-09-20      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10444294 | PA      | $9197146.29   | 0.24%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128KHFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19097 | PA      | $19705.35     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KHLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050316 | PA      | $2941377.83   | 0.08%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64429 | PA      | $59854.72     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179VMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94006 | PA      | $97036.10     | 0.00%             | 2050-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-17, Class QS                                                            | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59347 | PA      | $4019.42      | 0.00%             | 2039-03-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                           | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1023295 | PA      | $987031.64    | 0.03%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                    | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    277027 | PA      | $198857.78    | 0.01%             | 2035-08-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2941563 | PA      | $2978929.85   | 0.08%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8LZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467823 | PA      | $437603.73    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3371, Class FA                                                              | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27002 | PA      | $26785.12     | 0.00%             | 2037-09-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3535446 | PA      | $3195032.47   | 0.08%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410KUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58579 | PA      | $61275.36     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4PP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1226125 | PA      | $1071972.65   | 0.03%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13222400 | PA      | $10634653.35  | 0.28%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H23, Class F                                                                   | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1439844 | PA      | $1418376.26   | 0.04%             | 2066-10-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1058056 | PA      | $1022470.65   | 0.03%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class D                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1305426.09   | 0.03%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36181B5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    930179 | PA      | $897581.80    | 0.02%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $6908779.69   | 0.18%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1963, Class Z                                                               | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9558 | PA      | $9869.42      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XLK53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8849064 | PA      | $8187417.45   | 0.21%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1712633 | PA      | $1590727.25   | 0.04%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83964 | PA      | $84965.32     | 0.00%             | 2036-10-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IK                                                                  | CUSIP: 38380QMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43551599 | PA      | $1652471.78   | 0.04%             | 2070-10-20      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 3A                                                 | CUSIP: 31394VQB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492892 | PA      | $475350.41    | 0.01%             | 2045-06-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152932 | PA      | $158517.35    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-138, Class PT                                                                  | CUSIP: 38378GKK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2132196 | PA      | $2085796.90   | 0.05%             | 2042-11-16      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class AI                                                                  | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5333182 | PA      | $351493.53    | 0.01%             | 2067-06-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795867 | PA      | $717017.63    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1651643 | PA      | $1544223.86   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                            | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129830 | PA      | $131997.73    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995814 | PA      | $957646.55    | 0.02%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AQ2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141876 | PA      | $143729.64    | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 5A1                        | CUSIP: 22541Q4B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60223 | PA      | $58393.77     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35375 | PA      | $34721.25     | 0.00%             | 2034-10-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SV                                                            | CUSIP: 31394EKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123208 | PA      | $4754.13      | 0.00%             | 2035-07-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2181 | PA      | $2233.79      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-E, Class A2A                                 | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50365 | PA      | $46738.63     | 0.00%             | 2029-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14378 | PA      | $14819.28     | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9130000 | PA      | $8382971.71   | 0.22%             | 2034-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LMBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6201507 | PA      | $5789798.04   | 0.15%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    633420 | PA      | $578301.05    | 0.01%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433843 | PA      | $444926.83    | 0.01%             | 2036-03-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787518 | PA      | $751260.44    | 0.02%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2060, Class Z                                                               | CUSIP: 3133TDSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6375 | PA      | $6543.17      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-59, Class WA                                                                   | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353105 | PA      | $361403.02    | 0.01%             | 2038-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-16, Class FC                                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24677 | PA      | $24573.34     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2019-1A, Class C                                | CUSIP: 82653EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692456 | PA      | $649152.16    | 0.02%             | 2036-01-20      | Fixed         | 3.77%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761326 | PA      | $734453.60    | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120                                                                     | CUSIP: 31396LH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205452 | PA      | $35188.53     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H17, Class FQ                                                                  | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3337584 | PA      | $3270339.27   | 0.08%             | 2067-09-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA10, Class A31                                                          | CUSIP: 761118GD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59001 | PA      | $39309.96     | 0.00%             | 2035-09-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class X1                                                             | CUSIP: 3136BBTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48334788 | PA      | $4159943.19   | 0.11%             | 2030-07-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2017-2, Class M                                          | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $1941111.04   | 0.05%             | 2027-12-25      | Variable      | 5.60%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296RS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38954 | PA      | $39948.80     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1578, Class K                                                               | CUSIP: 3133T0J70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2241 | PA      | $2245.77      | 0.00%             | 2023-09-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2234997 | PA      | $2131933.21   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7249271.60   | 0.19%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VSKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4867645 | PA      | $4931199.55   | 0.13%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9L76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6844881 | PA      | $6359630.68   | 0.16%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2346170 | PA      | $2195124.00   | 0.06%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4714289 | PA      | $4646263.66   | 0.12%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M10, Class A1                                                             | CUSIP: 3136B2GY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346371 | PA      | $341700.11    | 0.01%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-49, Class LZ                                                            | CUSIP: 313921AM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28399 | PA      | $29824.62     | 0.00%             | 2031-07-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 356, Class 3                                                                | CUSIP: 3136FCPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100319 | PA      | $14707.81     | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $716370.30    | 0.02%             | 2032-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KRF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3304996 | PA      | $2939836.70   | 0.08%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    617110 | PA      | $613922.50    | 0.02%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class X2                                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5188752 | PA      | $379505.32    | 0.01%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1658, Class GZ                                                              | CUSIP: 3133T3TD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12439 | PA      | $12466.15     | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3 | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51231 | PA      | $49332.03     | 0.00%             | 2033-11-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-2, Class MS                                                                    | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106316 | PA      | $3800.10      | 0.00%             | 2038-01-16      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1686, Class SH                                                              | CUSIP: 3133T4EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       212 | PA      | $208.85       | 0.00%             | 2024-02-15      | Floating      | 11.56%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-110                                                                     | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51007 | PA      | $42362.89     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding II                                                      | HERO Funding II, Series 2016-4B, Class B                                                         | CUSIP: 42771VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    573167 | PA      | $547712.75    | 0.01%             | 2047-09-20      | Fixed         | 4.99%                 | Yes           |                  3 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-2, Class B                                          | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4724000 | PA      | $4152204.68   | 0.11%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  3 | On Loan: No      |
| vMobo, Inc.                                                          | vMobo, Inc.                                                                                      | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10256912 | PA      | $9641497.14   | 0.25%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                      | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168196 | PA      | $161169.99    | 0.00%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class A                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    304166 | PA      | $275236.02    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1663914 | PA      | $1609229.33   | 0.04%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20203000 | PA      | $15959105.90  | 0.41%             | 2031-09-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1045878 | PA      | $977903.52    | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695756 | PA      | $669083.20    | 0.02%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                                     | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2508113 | PA      | $2266854.19   | 0.06%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1183414 | PA      | $1136033.60   | 0.03%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 345, Class 6                                                                | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37710 | PA      | $5284.18      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8053000 | PA      | $6956926.06   | 0.18%             | 2032-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HD6Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    986367 | PA      | $973643.02    | 0.03%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-130, Class CP                                                                  | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231401 | PA      | $247449.16    | 0.01%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class EI                                                                  | CUSIP: 38382JE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18403265 | PA      | $2820239.70   | 0.07%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2141                                                                        | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       963 | PA      | $74.45        | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class SE                                                              | CUSIP: 3137BKF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3606381 | PA      | $405832.13    | 0.01%             | 2045-06-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YL2Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5888147 | PA      | $5410428.39   | 0.14%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U2GJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5096704 | PA      | $4870146.55   | 0.13%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class SB                                                           | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440504 | PA      | $35217.64     | 0.00%             | 2049-11-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEP27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11965000 | PA      | $9036403.29   | 0.23%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class OA                                                           | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5934 | PA      | $5467.38      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class TO                                                            | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44012 | PA      | $36571.36     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1677, Class Z                                                               | CUSIP: 3133T3Q84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2780 | PA      | $2784.99      | 0.00%             | 2023-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1766 | PA      | $1730.11      | 0.00%             | 2027-09-01      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1350354 | PA      | $1193470.50   | 0.03%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                  | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42970 | PA      | $34477.04     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1767 | PA      | $1808.26      | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-56, Class FT                                                            | CUSIP: 31395NXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416789 | PA      | $436417.76    | 0.01%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107500000 | PA      | $83627441.68  | 2.17%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-228, Class G                                                            | CUSIP: 31359ED65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       185 | PA      | $182.13       | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-187, Class WA                                                                  | CUSIP: 38382LC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5005910 | PA      | $4856557.04   | 0.13%             | 2041-07-16      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                       | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                                       | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10141641 | PA      | $9079637.42   | 0.24%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-62, Class SA                                                            | CUSIP: 31358UVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        99 | PA      | $97.87        | 0.00%             | 2023-04-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6934326 | PA      | $6779074.84   | 0.18%             | 2032-09-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2038, Class PN                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2248 | PA      | $244.15       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk                            | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN1, Class M1                            | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5545101 | PA      | $5177299.94   | 0.13%             | 2051-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868007 | PA      | $1946836.37   | 0.05%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108970 | PA      | $107420.79    | 0.00%             | 2042-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                  | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11250000 | PA      | $9162424.13   | 0.24%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class BO                                                                   | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68469 | PA      | $54912.63     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130860 | PA      | $126703.36    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13391 | PA      | $13470.53     | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3451, Class SA                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11453 | PA      | $553.05       | 0.00%             | 2038-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    980709 | PA      | $941465.31    | 0.02%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770236 | PA      | $688376.49    | 0.02%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-7, Class PF                                                             | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12494 | PA      | $13266.85     | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XPQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9588644 | PA      | $9748290.88   | 0.25%             | 2071-11-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    986887 | PA      | $1002266.00   | 0.03%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516839 | PA      | $455493.89    | 0.01%             | 2035-07-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897241 | PA      | $902793.43    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F7KM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352901 | PA      | $330535.80    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IN                                                                  | CUSIP: 38380QB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51719382 | PA      | $1733369.39   | 0.04%             | 2071-02-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29966 | PA      | $30858.53     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                         | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43957 | PA      | $39063.25     | 0.00%             | 2033-09-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3393, Class JO                                                              | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89157 | PA      | $76168.29     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-28, Class PF                                                            | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140444 | PA      | $139837.14    | 0.00%             | 2034-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-4, Class AJ                                                             | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1387944 | PA      | $1302530.74   | 0.03%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-43, Class SA                                                                   | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114855 | PA      | $4304.23      | 0.00%             | 2039-06-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526583 | PA      | $507409.14    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-79, Class UA                                                            | CUSIP: 31398FPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14167 | PA      | $14706.68     | 0.00%             | 2038-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-32, Class SA                                                            | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20407 | PA      | $1767.75      | 0.00%             | 2038-04-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2300166 | PA      | $2238818.86   | 0.06%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5048, Class TI                                                              | CUSIP: 3137F7FM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19771723 | PA      | $3110637.69   | 0.08%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3035492 | PA      | $2830675.97   | 0.07%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KJBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2694787 | PA      | $2485065.22   | 0.06%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2014-SFR3, Class E                                           | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3172000 | PA      | $3129084.74   | 0.08%             | 2036-12-17      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4655000 | PA      | $4801862.88   | 0.12%             | 2032-11-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3877893 | PA      | $3735586.76   | 0.10%             | 2050-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146496 | PA      | $149748.28    | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-7, Class SG                                                             | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254020 | PA      | $28262.50     | 0.00%             | 2036-08-25      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1822 | PA      | $1860.01      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1980003 | PA      | $1991631.41   | 0.05%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-37T1, Class A2                                               | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2539312 | PA      | $150556.55    | 0.00%             | 2035-09-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2251205.04   | 0.06%             | 2038-04-15      | Floating      | 5.98%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WNCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9452735 | PA      | $9663581.29   | 0.25%             | 2071-08-20      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-13, Class PI                                                                   | CUSIP: 38375PNB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315087 | PA      | $31721.31     | 0.00%             | 2038-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1737083 | PA      | $1624174.75   | 0.04%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class GS                                                                  | CUSIP: 38381Y4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2166379 | PA      | $216068.34    | 0.01%             | 2049-09-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154139 | PA      | $155470.16    | 0.00%             | 2035-04-01      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7612200 | PA      | $6283714.21   | 0.16%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458243 | PA      | $1354451.13   | 0.04%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7       | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226521 | PA      | $202979.53    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2013-CR9, Class XB                                             | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        | 134415677 | PA      | $128232.56    | 0.00%             | 2045-07-10      | Variable      | 0.22%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class SG                                                                  | CUSIP: 38381YS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3036109 | PA      | $253182.32    | 0.01%             | 2049-09-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1736685 | PA      | $1684584.23   | 0.04%             | 2048-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657478 | PA      | $615986.56    | 0.02%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    881946 | PA      | $868791.97    | 0.02%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3445618 | PA      | $3359404.03   | 0.09%             | 2047-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $7481593.78   | 0.19%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LMPX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    846979 | PA      | $814136.96    | 0.02%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31400FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64519 | PA      | $63595.28     | 0.00%             | 2033-07-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128781 | PA      | $117077.35    | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class H                                                             | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731222 | PA      | $1640802.49   | 0.04%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-57                                                                             | CUSIP: 38375LUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69673 | PA      | $66129.80     | 0.00%             | 2037-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                       | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121938 | PA      | $129285.14    | 0.00%             | 2044-01-25      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1807031 | PA      | $1777753.43   | 0.05%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1               | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       490 | PA      | $418.32       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XW6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6047663 | PA      | $5464389.32   | 0.14%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                   | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39743 | PA      | $40503.17     | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A2                                               | CUSIP: 466247K85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84346 | PA      | $79819.28     | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000838 | PA      | $1007415.16   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                   | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $487934.12    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-4, Class 3A1                                                 | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44564 | PA      | $41391.34     | 0.00%             | 2033-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-116, Class SB                                                           | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134414 | PA      | $11346.82     | 0.00%             | 2033-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-230, Class FA                                                           | CUSIP: 31359FE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       348 | PA      | $348.28       | 0.00%             | 2023-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FT                                                                  | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637111 | PA      | $633043.74    | 0.02%             | 2066-05-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138M66U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635530 | PA      | $622329.73    | 0.02%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2092168.20   | 0.05%             | 2031-08-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97861 | PA      | $96805.50     | 0.00%             | 2036-10-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-41, Class ID                                                                   | CUSIP: 38373QQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146951 | PA      | $5909.77      | 0.00%             | 2033-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K077, Class AM                  | CUSIP: 3137FG6Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4025000 | PA      | $3922233.70   | 0.10%             | 2028-05-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A2                                        | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94907 | PA      | $99372.27     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0AC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795185 | PA      | $763756.80    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                             | PRET LLC, Series 2021-RN4, Class A1                                                              | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10161317 | PA      | $8917370.75   | 0.23%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2724733 | PA      | $2779271.40   | 0.07%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015767 | PA      | $972606.34    | 0.03%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSQX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692067 | PA      | $677583.11    | 0.02%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IJ                                                                  | CUSIP: 38380QXK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 121375864 | PA      | $3982849.44   | 0.10%             | 2071-01-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                    | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16597 | PA      | $16262.10     | 0.00%             | 2020-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-4, Class 2PO                                                   | CUSIP: 74160MKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49865 | PA      | $32996.51     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PD                                                            | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9579 | PA      | $10073.58     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UMTN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1395800 | PA      | $1369309.98   | 0.04%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2723765 | PA      | $2469674.90   | 0.06%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3622A25K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4833353 | PA      | $4637959.13   | 0.12%             | 2048-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1602, Class SA                                                              | CUSIP: 3133T1D82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1227 | PA      | $1197.03      | 0.00%             | 2023-10-15      | Floating      | 11.66%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4313660 | PA      | $3840329.87   | 0.10%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2016-M2, Class AV2                                                             | CUSIP: 3136AQ5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113198 | PA      | $112843.16    | 0.00%             | 2023-01-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327176 | PA      | $341546.15    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9793549 | PA      | $7889834.51   | 0.20%             | 2033-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213308 | PA      | $187265.88    | 0.00%             | 2034-11-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L9WF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583194 | PA      | $1484869.24   | 0.04%             | 2027-05-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-111, Class AM                                                           | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448120 | PA      | $460030.95    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                           | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362189 | PA      | $333411.04    | 0.01%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1644, Class K                                                               | CUSIP: 3133T3BU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2731 | PA      | $2733.83      | 0.00%             | 2023-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273549 | PA      | $288071.10    | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VOLT CV LLC                                                          | VOLT CV LLC, Series 2021-CF2, Class A1                                                           | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1545051 | PA      | $1391329.09   | 0.04%             | 2051-11-27      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class XI                                                                  | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4546594 | PA      | $199595.95    | 0.01%             | 2067-06-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2020-SFR2, Class E                                                  | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $8778987.00   | 0.23%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-2, Class A1                                                                | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4943190 | PA      | $4515258.39   | 0.12%             | 2026-03-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HAA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1693934 | PA      | $1728725.17   | 0.04%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SE                                                                   | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154908 | PA      | $6378.65      | 0.00%             | 2037-06-16      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144468 | PA      | $145632.30    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class C                                                                       | CUSIP: 269330AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    448325 | PA      | $429949.40    | 0.01%             | 2055-09-20      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617XDMY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6459760 | PA      | $6585406.45   | 0.17%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38794 | PA      | $37797.82     | 0.00%             | 2033-01-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091247 | PA      | $1044628.68   | 0.03%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 31418MEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5815 | PA      | $5886.16      | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                  | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322515 | PA      | $111397.41    | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243402 | PA      | $235200.30    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85953 | PA      | $83625.45     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19132 | PA      | $18764.34     | 0.00%             | 2034-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                 | Impac Secured Assets CMN Owner Trust, Series 2001-8, Class A6                                    | CUSIP: 45254TJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211835 | PA      | $210163.71    | 0.01%             | 2032-01-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51574 | PA      | $54896.87     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MT                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29129 | PA      | $30874.26     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                 | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88765 | PA      | $91591.21     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202WH69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8616 | PA      | $8627.21      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class MT                                                           | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717369 | PA      | $767088.64    | 0.02%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-92, Class AD                                                            | CUSIP: 31398FVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96715 | PA      | $97204.44     | 0.00%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PU                                                            | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18847 | PA      | $20048.89     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class E2                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11870000 | PA      | $10363577.11  | 0.27%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| CARS-DB4 LP                                                          | CARS-DB4 LP, Series 2020-1A, Class B1                                                            | CUSIP: 12510HAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $10481496.75  | 0.27%             | 2050-02-15      | Fixed         | 4.17%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2033, Class J                                                               | CUSIP: 3133TCWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2830 | PA      | $2824.90      | 0.00%             | 2023-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841325 | PA      | $785719.15    | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675791 | PA      | $639063.21    | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-28, Class S                                                                    | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43348 | PA      | $45777.50     | 0.00%             | 2034-04-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2020-RPL5, Class A1                                                           | CUSIP: 12597XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4911356 | PA      | $4653755.07   | 0.12%             | 2060-08-25      | Variable      | 3.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40370 | PA      | $41571.81     | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204USZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315655 | PA      | $310815.76    | 0.01%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                                         | Home RE Ltd., Series 2021-2, Class M1B                                                           | CUSIP: 43730VAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   3095000 | PA      | $3013097.02   | 0.08%             | 2034-01-25      | Floating      | 5.15%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089393 | PA      | $1033962.62   | 0.03%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2546822 | PA      | $2317119.13   | 0.06%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2559056 | PA      | $2648340.16   | 0.07%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523020 | PA      | $474110.17    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class LB                                                           | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445345 | PA      | $478806.48    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20226 | PA      | $20056.53     | 0.00%             | 2036-12-01      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-47, Class ZA                                                            | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262023 | PA      | $263538.88    | 0.01%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2555451 | PA      | $2457491.05   | 0.06%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145689 | PA      | $137868.13    | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637150 | PA      | $1573666.70   | 0.04%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3179, Class OA                                                              | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45388 | PA      | $37491.66     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1       | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32831 | PA      | $29364.63     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31336CNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37058 | PA      | $36259.01     | 0.00%             | 2036-03-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E2                                                 | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4235000 | PA      | $3550228.03   | 0.09%             | 2039-05-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183707 | PA      | $169088.08    | 0.00%             | 2028-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H10, Class IB                                                                  | CUSIP: 38380LVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16292760 | PA      | $345282.20    | 0.01%             | 2069-05-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MPCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8413759 | PA      | $7712761.91   | 0.20%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-1, Class II2A                                   | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14078 | PA      | $13566.97     | 0.00%             | 2044-03-25      | Variable      | 1.73%                 | No            |                  3 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                                   | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13779554 | PA      | $13066379.64  | 0.34%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2015-SFR1, Class E                                           | CUSIP: 02666AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3975000 | PA      | $3855492.82   | 0.10%             | 2052-04-17      | Fixed         | 5.64%                 | Yes           |                  3 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58019 | PA      | $53397.61     | 0.00%             | 2033-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-78, Class CB                                                            | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61034 | PA      | $62565.45     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903920 | PA      | $877061.32    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-6, Class 1A7                                                    | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164432 | PA      | $160775.66    | 0.00%             | 2034-11-25      | Variable      | 4.88%                 | No            |                  3 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA4, Class NB3                                                           | CUSIP: 76110HZL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76771 | PA      | $69294.73     | 0.00%             | 2034-09-25      | Variable      | 4.70%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2341764 | PA      | $2175068.16   | 0.06%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-85                                                                             | CUSIP: 38374MHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142694 | PA      | $17336.55     | 0.00%             | 2035-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K51, Class B                                                   | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $955438.90    | 0.02%             | 2048-10-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1526, Class L                                                               | CUSIP: 312916FL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       324 | PA      | $324.22       | 0.00%             | 2023-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                          | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237277 | PA      | $227928.26    | 0.01%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36290TED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98762 | PA      | $97150.78     | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404UKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25223 | PA      | $24708.34     | 0.00%             | 2034-06-01      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1329343 | PA      | $1168780.05   | 0.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140F4KN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352132 | PA      | $329578.89    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G93-17, Class SI                                                             | CUSIP: 31358UWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       176 | PA      | $176.46       | 0.00%             | 2023-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q0FY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4420761 | PA      | $4285863.19   | 0.11%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4207933 | PA      | $4308632.41   | 0.11%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 313637PE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1891090 | PA      | $1832007.39   | 0.05%             | 2028-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11722931 | PA      | $11160630.06  | 0.29%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-25, Class SA                                                            | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46132 | PA      | $48001.07     | 0.00%             | 2034-04-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR3, Class E1                                                           | CUSIP: 001807AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $276253.59    | 0.01%             | 2037-09-17      | Fixed         | 2.56%                 | Yes           |                  3 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                      | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142953 | PA      | $130947.03    | 0.00%             | 2034-06-20      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2                                    | CUSIP: 17307GCK2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3557 | PA      | $3402.28      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1139575 | PA      | $1029733.81   | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6742509 | PA      | $6229583.92   | 0.16%             | 2030-11-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8223110.80   | 0.21%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2990, Class SL                                                              | CUSIP: 31395V4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3104 | PA      | $3074.75      | 0.00%             | 2034-06-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-118, Class A2                                                           | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57382 | PA      | $56040.95     | 0.00%             | 2036-12-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3077, Class TO                                                              | CUSIP: 31396FZ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40635 | PA      | $38688.83     | 0.00%             | 2035-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2015-SFR1, Class D                                           | CUSIP: 02666AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4390000 | PA      | $4194067.28   | 0.11%             | 2052-04-17      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2075, Class PH                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50440 | PA      | $51768.95     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                                                     | Welk Resorts LLC, Series 2019-AA, Class C                                                        | CUSIP: 94946DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1534426 | PA      | $1467626.78   | 0.04%             | 2038-06-15      | Fixed         | 3.34%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2192948 | PA      | $2161268.17   | 0.06%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4603242 | PA      | $4218119.14   | 0.11%             | 2050-07-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33005 | PA      | $34217.11     | 0.00%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W2, Class 1A1                                         | CUSIP: 31396VAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157880 | PA      | $154257.51    | 0.00%             | 2037-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31356FP70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       206 | PA      | $215.17       | 0.00%             | 2024-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2020-1A, Class C                                                    | CUSIP: 96034LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1669509 | PA      | $1646233.67   | 0.04%             | 2034-03-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3632, Class BS                                                              | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    446065 | PA      | $432772.04    | 0.01%             | 2040-02-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1130408 | PA      | $1086580.68   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4AG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    969523 | PA      | $955518.07    | 0.02%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402ESB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7725 | PA      | $7954.83      | 0.00%             | 2033-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237231 | PA      | $221898.12    | 0.01%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JR5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1547358 | PA      | $1601596.19   | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2967217 | PA      | $2857833.69   | 0.07%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4586015 | PA      | $4279724.37   | 0.11%             | 2040-02-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding III                                                     | HERO Funding III, Series 2017-1A, Class A                                                        | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    573807 | PA      | $519825.39    | 0.01%             | 2043-09-21      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WRC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5717704 | PA      | $5315443.74   | 0.14%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-137, Class WA                                                                  | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232519 | PA      | $241470.61    | 0.01%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WB                                                                  | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1845710 | PA      | $1807299.49   | 0.05%             | 2042-09-16      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1566047 | PA      | $1594173.32   | 0.04%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-96, Class SL                                                                   | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97752 | PA      | $1877.40      | 0.00%             | 2038-12-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UG7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1172508 | PA      | $1171086.00   | 0.03%             | 2051-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5704887 | PA      | $5155941.15   | 0.13%             | 2031-10-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93340 | PA      | $88773.74     | 0.00%             | 2035-06-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31410KUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       255 | PA      | $262.70       | 0.00%             | 2024-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147883 | PA      | $140857.09    | 0.00%             | 2041-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128E54X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358781 | PA      | $355848.07    | 0.01%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H05, Class FC                                                                  | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1044998 | PA      | $1026264.24   | 0.03%             | 2067-02-20      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2014-M3, Class A2                                                              | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559704 | PA      | $548976.27    | 0.01%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6772006 | PA      | $5665217.99   | 0.15%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-7, Class FD                                                             | CUSIP: 31392B3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36779 | PA      | $36693.62     | 0.00%             | 2029-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K78, Class B                                                   | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1075000 | PA      | $996718.82    | 0.03%             | 2051-06-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444394 | PA      | $429312.25    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1361538 | PA      | $1234453.72   | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2271, Class PC                                                              | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38903 | PA      | $41285.52     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36546 | PA      | $35829.68     | 0.00%             | 2033-12-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-91, Class W                                                                    | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    692485 | PA      | $706053.20    | 0.02%             | 2040-05-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M11                                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  78631703 | PA      | $6628982.82   | 0.17%             | 2029-01-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3237, Class AO                                                              | CUSIP: 31397CDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88200 | PA      | $72850.11     | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-84, Class WS                                                            | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60669 | PA      | $3761.70      | 0.00%             | 2039-10-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                  | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53128 | PA      | $29455.00     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763863 | PA      | $715216.14    | 0.02%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8542905 | PA      | $7987341.48   | 0.21%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1264505 | PA      | $1182320.65   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class C                                                                | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4272320 | PA      | $3807370.79   | 0.10%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-59, Class SD                                                                   | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53034 | PA      | $3206.30      | 0.00%             | 2036-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class B                                            | CUSIP: 43285HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2074043 | PA      | $1994090.46   | 0.05%             | 2039-02-25      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37000000 | PA      | $35624062.50  | 0.92%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MASZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2693560 | PA      | $2431305.89   | 0.06%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                       | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55697 | PA      | $42776.31     | 0.00%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2337441 | PA      | $2214843.39   | 0.06%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1271181 | PA      | $1232125.24   | 0.03%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-92                                                                      | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869569 | PA      | $659559.23    | 0.02%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ABG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3908163 | PA      | $3590297.11   | 0.09%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1417927 | PA      | $1317395.17   | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-103, Class WA                                                                  | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273470 | PA      | $280692.67    | 0.01%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 265, Class 2                                                                | CUSIP: 31364HJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $185.52       | 0.00%             | 2024-03-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 285, Class 1                                                                | CUSIP: 31364JLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       991 | PA      | $946.15       | 0.00%             | 2027-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LHCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1650198 | PA      | $1569331.07   | 0.04%             | 2027-02-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9417504 | PA      | $8609090.30   | 0.22%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33162 | PA      | $32473.35     | 0.00%             | 2035-05-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2930585 | PA      | $2740138.24   | 0.07%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36179ACN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12676 | PA      | $12418.55     | 0.00%             | 2063-05-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416RZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298926 | PA      | $292639.26    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145630 | PA      | $151804.70    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QBP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6081738 | PA      | $5753071.52   | 0.15%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                 | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103728 | PA      | $95082.34     | 0.00%             | 2034-12-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3095 | PA      | $3029.69      | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3966, Class NA                                                              | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    851608 | PA      | $831319.13    | 0.02%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class SB                                                            | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122855 | PA      | $9300.88      | 0.00%             | 2040-04-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-16, Class JI                                                                   | CUSIP: 38382NAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25047346 | PA      | $3544985.89   | 0.09%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54015 | PA      | $55622.87     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105970 | PA      | $106885.26    | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1322006 | PA      | $1227855.23   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187259 | PA      | $190831.21    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LFT CRE Ltd.                                                         | LFT CRE Ltd., Series 2021-FL1, Class C                                                           | CUSIP: 50203JAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $7664256.00   | 0.20%             | 2039-06-15      | Floating      | 5.83%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-76, Class SA                                                                   | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143079 | PA      | $6453.85      | 0.00%             | 2037-11-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                       | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                          | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    294709 | PA      | $276797.49    | 0.01%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                           | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458357 | PA      | $467140.77    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-119                                                                     | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42421 | PA      | $36970.70     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36203CRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       160 | PA      | $159.66       | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2003-J, Class 3A2                                         | CUSIP: 05948XYP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51522 | PA      | $47628.98     | 0.00%             | 2033-11-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3531, Class SA                                                              | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172473 | PA      | $3622.05      | 0.00%             | 2039-05-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LXZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116320 | PA      | $121347.20    | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                         | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135587 | PA      | $130420.09    | 0.00%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class OT                                                            | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307461 | PA      | $250121.53    | 0.01%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KX6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1199293 | PA      | $1103805.45   | 0.03%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-11, Class LA                                                            | CUSIP: 3136B1DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639710 | PA      | $1574665.08   | 0.04%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-74, Class SL                                                                   | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    528265 | PA      | $38672.23     | 0.00%             | 2037-11-16      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43986 | PA      | $46034.46     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2226986 | PA      | $2016024.38   | 0.05%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31386L4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19307 | PA      | $19322.09     | 0.00%             | 2030-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2005-A1, Class 3A                            | CUSIP: 59020UQE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18977 | PA      | $18315.87     | 0.00%             | 2034-12-25      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Camillo Issuer LLC                                                   | Camillo Issuer LLC, Series 2018-SFR1, Class A                                                    | CUSIP: 133716AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2694289 | PA      | $2672195.53   | 0.07%             | 2028-06-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $14026977.54  | 0.36%             | 2033-07-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683405 | PA      | $664322.09    | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1645560 | PA      | $1486977.65   | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383632 | PA      | $419801.87    | 0.01%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-95, Class DS                                                                   | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321105 | PA      | $16017.11     | 0.00%             | 2038-12-20      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950060 | PA      | $907634.62    | 0.02%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22159 | PA      | $22723.44     | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| P -stla                                                              | P4 SFR                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3080000.00   | 0.08%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DZ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57142 | PA      | $55260.74     | 0.00%             | 2041-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31301 | PA      | $30796.87     | 0.00%             | 2035-06-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425763 | PA      | $428980.52    | 0.01%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3714, Class IP                                                              | CUSIP: 3137A0WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292433 | PA      | $22969.62     | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680901 | PA      | $697084.93    | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2470, Class SL                                                              | CUSIP: 31392RJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3683 | PA      | $3654.10      | 0.00%             | 2027-01-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-103, Class WA                                                                  | CUSIP: 38382T2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3899206 | PA      | $3833136.90   | 0.10%             | 2045-06-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32175 | PA      | $33132.33     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                 | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2953010 | PA      | $35784.57     | 0.00%             | 2039-05-25      | Variable      | 0.56%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26868 | PA      | $26425.95     | 0.00%             | 2036-01-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LCDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106027 | PA      | $1083996.78   | 0.03%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7D69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    980203 | PA      | $934670.82    | 0.02%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213E6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25142 | PA      | $25206.85     | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4393100 | PA      | $4080684.35   | 0.11%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-157, Class OP                                                                  | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546738 | PA      | $455941.50    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-72, Class AZ                                                                   | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334796 | PA      | $339684.81    | 0.01%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-91, Class ES                                                            | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313785 | PA      | $27163.30     | 0.00%             | 2037-10-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242447 | PA      | $239735.33    | 0.01%             | 2045-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15471 | PA      | $15733.20     | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4315123.33   | 0.11%             | 2034-04-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2433, Class SA                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44812 | PA      | $50225.90     | 0.00%             | 2032-02-15      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class QN                                                              | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50638 | PA      | $48829.77     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769525 | PA      | $754790.22    | 0.02%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class C                                             | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4229093 | PA      | $3849228.07   | 0.10%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186020 | PA      | $195810.55    | 0.01%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KPSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897670 | PA      | $1690222.67   | 0.04%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37875 | PA      | $40766.15     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3232, Class ST                                                              | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92505 | PA      | $8728.44      | 0.00%             | 2036-10-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1881664 | PA      | $1759376.46   | 0.05%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class C                                            | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4924760 | PA      | $4739017.78   | 0.12%             | 2037-01-25      | Fixed         | 5.57%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7CD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330898 | PA      | $317502.05    | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208F4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3891 | PA      | $3890.59      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BDS55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5794841 | PA      | $5906079.89   | 0.15%             | 2052-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-22T1, Class A2                                               | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437070 | PA      | $105160.74    | 0.00%             | 2035-06-25      | Floating      | 1.03%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-74, Class SK                                                            | CUSIP: 31394FDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75332 | PA      | $73802.54     | 0.00%             | 2035-05-25      | Floating      | 9.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1597095 | PA      | $1483897.09   | 0.04%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                  | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291937 | PA      | $251972.26    | 0.01%             | 2034-09-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| HIN Timeshare Trust                                                  | HIN Timeshare Trust, Series 2020-A, Class B                                                      | CUSIP: 40439HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1860777 | PA      | $1703552.21   | 0.04%             | 2039-10-09      | Fixed         | 2.23%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494821 | PA      | $476095.48    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GI                                                            | CUSIP: 31396K4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273020 | PA      | $7239.48      | 0.00%             | 2026-10-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36179UZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461270 | PA      | $422032.65    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LET53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354564 | PA      | $357104.93    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 3138Y9NQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1315730 | PA      | $1268296.70   | 0.03%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3604                                                                        | CUSIP: 31398KQQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99892 | PA      | $80652.18     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mill City Securities Ltd.                                            | Mill City Securities Ltd., Series 2021-RS1, Class A1                                             | CUSIP: 59982YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7496890 | PA      | $6800625.82   | 0.18%             | 2066-04-28      | Variable      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921222 | PA      | $867053.87    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-22, Class AO                                                                   | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41471 | PA      | $37359.37     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-2A, Class C                                                                 | CUSIP: 55400VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5051829.00   | 0.13%             | 2041-10-21      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-117, Class GS                                                           | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112658 | PA      | $6779.22      | 0.00%             | 2036-12-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-16, Class OP                                                                   | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60228 | PA      | $51307.66     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5068750 | PA      | $4464581.86   | 0.12%             | 2030-07-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503876 | PA      | $521814.18    | 0.01%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2915359 | PA      | $2634410.92   | 0.07%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                               | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397450 | PA      | $391661.03    | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2722, Class PF                                                              | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546470 | PA      | $543813.89    | 0.01%             | 2033-12-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5047606 | PA      | $4908692.01   | 0.13%             | 2048-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-12, Class CO                                                            | CUSIP: 31396YND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342020 | PA      | $287413.05    | 0.01%             | 2038-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LUSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1370546 | PA      | $1287839.29   | 0.03%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814567 | PA      | $779606.46    | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1249956 | PA      | $1252248.99   | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448164 | PA      | $1355789.62   | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2110, Class PG                                                              | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32068 | PA      | $32631.99     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2003-A4, Class 2A                            | CUSIP: 589929W61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45405 | PA      | $41275.45     | 0.00%             | 2033-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-52, Class SX                                                            | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6437 | PA      | $7121.63      | 0.00%             | 2031-10-25      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-36, Class SH                                                                   | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169169 | PA      | $223.05       | 0.00%             | 2038-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2X                          | CUSIP: 225458QZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413455 | PA      | $35310.45     | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 197                                                                        | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95999 | PA      | $87625.50     | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                     | MortgageIT Trust, Series 2005-5, Class A1                                                        | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27610 | PA      | $25840.69     | 0.00%             | 2035-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1412667 | PA      | $1320845.13   | 0.03%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5560497 | PA      | $5418733.34   | 0.14%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  3 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4912 | PA      | $4600.15      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAU59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1150672 | PA      | $1108992.02   | 0.03%             | 2051-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63476 | PA      | $65745.41     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class OE                                                              | CUSIP: 31339NKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9569 | PA      | $9625.50      | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115666 | PA      | $113369.11    | 0.00%             | 2033-11-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                 | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42167 | PA      | $38368.07     | 0.00%             | 2034-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    722652 | PA      | $655718.70    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZD                                                              | CUSIP: 3133TSTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207387 | PA      | $220203.98    | 0.01%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1777846 | PA      | $1633281.77   | 0.04%             | 2050-10-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR2, Class D                                            | CUSIP: 74333DAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2518879.80   | 0.07%             | 2038-04-19      | Fixed         | 2.20%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-36, Class SA                                                            | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87064 | PA      | $91284.63     | 0.00%             | 2034-05-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X0WY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2438478 | PA      | $2276976.93   | 0.06%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2364082 | PA      | $2170396.10   | 0.06%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39018 | PA      | $40545.33     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1382287 | PA      | $1372485.33   | 0.04%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2345, Class NE                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6050 | PA      | $6306.78      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2297665 | PA      | $2148320.01   | 0.06%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class TS                                                                   | CUSIP: 38381RYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18639717 | PA      | $1262667.47   | 0.03%             | 2049-03-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13888 | PA      | $13625.63     | 0.00%             | 2034-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617H0PS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2467126 | PA      | $2487146.96   | 0.06%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14662965 | PA      | $11836942.09  | 0.31%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                          | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25892 | PA      | $25186.92     | 0.00%             | 2037-02-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46736 | PA      | $47740.45     | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                            | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533641 | PA      | $7431.91      | 0.00%             | 2035-09-25      | Variable      | 0.53%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-69                                                                      | CUSIP: 31396Q5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75757 | PA      | $59402.96     | 0.00%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1628, Class LZ                                                              | CUSIP: 3133T3KK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8062 | PA      | $8078.12      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9070000 | PA      | $8138830.99   | 0.21%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31384VZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       556 | PA      | $555.83       | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1602424 | PA      | $1500257.11   | 0.04%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                               | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87324 | PA      | $81068.97     | 0.00%             | 2035-02-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39081 | PA      | $39524.63     | 0.00%             | 2033-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9916909 | PA      | $10249285.51  | 0.27%             | 2071-11-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2037283 | PA      | $1983853.71   | 0.05%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3943588.92   | 0.10%             | 2032-11-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H12, Class JI                                                                  | CUSIP: 38380LXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15431105 | PA      | $396579.39    | 0.01%             | 2069-07-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust       | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2004-RA2, Class 2A        | CUSIP: 939336R54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133061 | PA      | $131745.69    | 0.00%             | 2033-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                               | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL4, Class A1                               | CUSIP: 741391AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3688390 | PA      | $3308986.77   | 0.09%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3626750 | PA      | $3486107.56   | 0.09%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21407000 | PA      | $20171354.14  | 0.52%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3481, Class SJ                                                              | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216063 | PA      | $16012.84     | 0.00%             | 2038-08-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class H                                                             | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228194 | PA      | $231129.39    | 0.01%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NFU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83572 | PA      | $79990.59     | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2564934 | PA      | $2353709.62   | 0.06%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295492 | PA      | $280280.18    | 0.01%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class A2                  | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4270000 | PA      | $3677104.10   | 0.10%             | 2055-06-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                   | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43391 | PA      | $43535.32     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                              | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6167878.50   | 0.16%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  3 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class A                                           | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3902514 | PA      | $3524836.26   | 0.09%             | 2039-09-17      | Fixed         | 2.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3290, Class SB                                                              | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181647 | PA      | $15300.91     | 0.00%             | 2037-03-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HSE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1718980 | PA      | $1678649.53   | 0.04%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                 | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7889525 | PA      | $6893921.87   | 0.18%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1796792 | PA      | $1744152.19   | 0.05%             | 2032-08-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-20, Class SA                                                            | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136506 | PA      | $13579.12     | 0.00%             | 2038-03-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3434216 | PA      | $3502899.17   | 0.09%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0PB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1610448 | PA      | $1505783.27   | 0.04%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2281750 | PA      | $2220084.85   | 0.06%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-60, Class AX                                                            | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202867 | PA      | $27260.22     | 0.00%             | 2037-07-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16543 | PA      | $16567.07     | 0.00%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1185139 | PA      | $1110396.70   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24475 | PA      | $25421.64     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369545 | PA      | $1357108.13   | 0.04%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2692, Class SC                                                              | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49616 | PA      | $48425.67     | 0.00%             | 2033-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                        | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                         | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177937 | PA      | $625364.35    | 0.02%             | 2035-05-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JJA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944763 | PA      | $936235.54    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3                                   | CUSIP: 17307GAV0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      4856 | PA      | $4709.88      | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MURZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1194845 | PA      | $1206665.98   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14604 | PA      | $14366.42     | 0.00%             | 2034-02-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31335PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116895 | PA      | $119794.64    | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19771 | PA      | $19717.18     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class SB                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4946 | PA      | $5084.48      | 0.00%             | 2029-03-15      | Floating      | 14.22%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4       | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1774902 | PA      | $66620.75     | 0.00%             | 2035-04-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| Epobuyeritrus3.06                                                    | Repo Buyer RRI Trust                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2772302 | PA      | $2425764.40   | 0.06%             | 2055-04-14      | Fixed         | 3.06%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class DP                                                                   | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45142 | PA      | $42615.84     | 0.00%             | 2035-06-17      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G94-7, Class PJ                                                              | CUSIP: 31359HG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10093 | PA      | $10143.63     | 0.00%             | 2024-05-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-75, Class FA                                                            | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50683 | PA      | $50462.82     | 0.00%             | 2041-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-U, Class A1                            | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192898 | PA      | $179152.02    | 0.00%             | 2034-10-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                           | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4352 | PA      | $3188.89      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417WCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103466 | PA      | $109773.03    | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AC                                                            | CUSIP: 3136AQUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1576569 | PA      | $1684314.42   | 0.04%             | 2036-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48050 | PA      | $49479.41     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2111, Class SB                                                              | CUSIP: 3133TJ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40715 | PA      | $1022.22      | 0.00%             | 2029-01-15      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Two Harbors                                                          | Two Harbors                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  27000000 | PA      | $27000000.00  | 0.70%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class XAM                 | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26300000 | PA      | $1289959.77   | 0.03%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZJ                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10813 | PA      | $11366.35     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-87, Class F                                                             | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104568 | PA      | $104610.44    | 0.00%             | 2034-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-14, Class TI                                                            | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105831 | PA      | $3963.35      | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-27, Class TI                                                                   | CUSIP: 38382NKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15462674 | PA      | $2059784.37   | 0.05%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2557661 | PA      | $2458477.90   | 0.06%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-97, Class FA                                                            | CUSIP: 31359AH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       106 | PA      | $106.10       | 0.00%             | 2023-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-115, Class OK                                                           | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111547 | PA      | $90751.30     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4753407 | PA      | $4544414.15   | 0.12%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886751 | PA      | $849073.35    | 0.02%             | 2051-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18981 | PA      | $20453.47     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HF7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772821 | PA      | $713013.79    | 0.02%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-58, Class NI                                                                   | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534104 | PA      | $72858.84     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31413STL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365757 | PA      | $373905.98    | 0.01%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6860 | PA      | $6980.83      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895880 | PA      | $889037.29    | 0.02%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 2A2                                 | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35863 | PA      | $33527.75     | 0.00%             | 2028-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-33, Class ID                                                            | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17144 | PA      | $2143.78      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    822672 | PA      | $768662.80    | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465095 | PA      | $430947.19    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1102207 | PA      | $1086284.67   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                             | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686000 | PA      | $2411574.33   | 0.06%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2003-QS12, Class A2A                                                          | CUSIP: 76110HDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21 | PA      | $0.00         | 0.00%             | 2018-06-25      | Floating      | 4.01%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2763, Class ZA                                                              | CUSIP: 31394TMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1958943 | PA      | $2026371.12   | 0.05%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181645 | PA      | $175944.12    | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2725, Class SC                                                              | CUSIP: 31394MWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14879 | PA      | $14520.18     | 0.00%             | 2033-11-15      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1447 | NC      | $1263277.87   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620472 | PA      | $615735.75    | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX6B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2662311 | PA      | $2623847.19   | 0.07%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-81, Class PI                                                            | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1533 | PA      | $96.22        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999715 | PA      | $994389.10    | 0.03%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-13, Class FL                                                            | CUSIP: 31394B7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60417 | PA      | $59527.99     | 0.00%             | 2035-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58568 | PA      | $61332.91     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KMLZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9912838 | PA      | $8536703.24   | 0.22%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9JQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1041922 | PA      | $1049334.34   | 0.03%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1980838 | PA      | $1854557.99   | 0.05%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M3, Class A2                                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18900000 | PA      | $15172868.97  | 0.39%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H18, Class AI                                                                  | CUSIP: 38380LMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52333576 | PA      | $2161651.43   | 0.06%             | 2068-09-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-147, Class SA                                                           | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1356867 | PA      | $161449.11    | 0.00%             | 2041-01-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7213509.83   | 0.19%             | 2032-05-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-30, Class Z                                                             | CUSIP: 31392CH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107519 | PA      | $111324.45    | 0.00%             | 2032-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3404, Class SC                                                              | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169599 | PA      | $12995.48     | 0.00%             | 2038-01-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XSV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10603838 | PA      | $10870445.66  | 0.28%             | 2071-11-20      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2368, Class AS                                                              | CUSIP: 31339GNQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3670 | PA      | $3380.22      | 0.00%             | 2031-10-15      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| Marion Mhc  aug33                                                    | Marion Mhc  aug33                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6226484.39   | 0.16%             | 2033-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246099 | PA      | $249101.88    | 0.01%             | 2035-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-34                                                                             | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34420 | PA      | $29655.76     | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OH                                                            | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70451 | PA      | $60873.01     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                         | BB-UBS Trust, Series 2012-SHOW, Class E                                                          | CUSIP: 05538UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3575000 | PA      | $3128063.87   | 0.08%             | 2036-11-05      | Variable      | 4.16%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1022649 | PA      | $924071.68    | 0.02%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1099574 | PA      | $1007440.51   | 0.03%             | 2051-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103149 | PA      | $1072149.98   | 0.03%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A3, Class 4A1                                               | CUSIP: 466247DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6380 | PA      | $6119.65      | 0.00%             | 2034-07-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140EVL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242056 | PA      | $226294.23    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Heritage Cove  sep32                                                 | Heritage Cove  sep32                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2380000 | PA      | $2486325.06   | 0.06%             | 2032-09-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4218085 | PA      | $3871816.70   | 0.10%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                             | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $9622249.00   | 0.25%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14229 | PA      | $13932.76     | 0.00%             | 2037-07-01      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4008409 | PA      | $3553938.25   | 0.09%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-25, Class J                                                             | CUSIP: 31358TWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       751 | PA      | $749.39       | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1671, Class QC                                                              | CUSIP: 3133T36V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1287 | PA      | $1308.27      | 0.00%             | 2024-02-15      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1672396 | PA      | $1574079.58   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T10                                                 | CUSIP: 3139216E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9679 | PA      | $8779.75      | 0.00%             | 2041-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2756, Class NA                                                              | CUSIP: 31394PXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4794 | PA      | $4753.63      | 0.00%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2002-QS16, Class A3                                                           | CUSIP: 76110GW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111 | PA      | $114.01       | 0.00%             | 2017-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 300, Class 1                                                                | CUSIP: 31364HT56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10912 | PA      | $10608.67     | 0.00%             | 2024-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1760, Class ZD                                                              | CUSIP: 3133T5X32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13003 | PA      | $12914.70     | 0.00%             | 2024-02-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                         | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284471 | PA      | $274778.47    | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-1, Class BI                                                             | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168436 | PA      | $13020.19     | 0.00%             | 2038-02-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class AX1                                           | CUSIP: 576434TR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94119 | PA      | $11675.07     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-189, Class JI                                                                  | CUSIP: 38382MBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14819427 | PA      | $2489310.99   | 0.06%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-22, Class WA                                                                   | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    775789 | PA      | $800018.10    | 0.02%             | 2037-02-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                          | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99800 | PA      | $99156.58     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                   | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431405 | PA      | $446056.04    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2882911 | PA      | $2706618.13   | 0.07%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                   | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    101572 | PA      | $78324.11     | 0.00%             | 2035-02-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class NI                                                                  | CUSIP: 38380QA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27316603 | PA      | $867100.28    | 0.02%             | 2071-02-20      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-2A, Class A                                                               | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1693007 | PA      | $1457173.67   | 0.04%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| RBS Commercial Funding, Inc. Trust                                   | RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A                                     | CUSIP: 74932BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2123000 | PA      | $2101274.70   | 0.05%             | 2031-03-11      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56657 | PA      | $57692.82     | 0.00%             | 2036-11-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                        | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79875 | PA      | $74908.11     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL1, Class A1                                                             | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6528963 | PA      | $6232403.21   | 0.16%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770234 | PA      | $714894.27    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class IQ                                                                  | CUSIP: 38380QJ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  84459082 | PA      | $3070172.10   | 0.08%             | 2071-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4156213 | PA      | $4114254.63   | 0.11%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279977 | PA      | $305988.06    | 0.01%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JKQS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1811090 | PA      | $1849625.15   | 0.05%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220396 | PA      | $634883.96    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-22, Class UD                                                            | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228294 | PA      | $221733.71    | 0.01%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QCAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4652401 | PA      | $4340565.89   | 0.11%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-152, Class SB                                                                  | CUSIP: 38382BXQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20528702 | PA      | $317946.48    | 0.01%             | 2049-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class GO                                                            | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109192 | PA      | $92255.45     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-11, Class JW                                                            | CUSIP: 3136B8XD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056000 | PA      | $2410640.03   | 0.06%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903518 | PA      | $844802.59    | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352480 | PA      | $318069.36    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-104, Class AB                                                                  | CUSIP: 38376JMG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93992 | PA      | $94496.76     | 0.00%             | 2039-08-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 293, Class 1                                                                | CUSIP: 31364HR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23964 | PA      | $23414.28     | 0.00%             | 2024-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Baring Frn                                                           | Baring Frn                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4463912 | PA      | $4352313.91   | 0.11%             | 2023-04-22      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FA                                                            | CUSIP: 31392EUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115004 | PA      | $114866.75    | 0.00%             | 2031-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428244 | PA      | $1321584.91   | 0.03%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360832 | PA      | $340000.20    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-53, Class CI                                                            | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70805 | PA      | $6621.54      | 0.00%             | 2038-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-21, Class WA                                                            | CUSIP: 3136A35N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661855 | PA      | $670973.20    | 0.02%             | 2052-03-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A52                                       | CUSIP: 12544RCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373653 | PA      | $126356.11    | 0.00%             | 2037-05-25      | Floating      | 1.36%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2312526 | PA      | $2223880.83   | 0.06%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-125, Class SA                                                           | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365134 | PA      | $13221.55     | 0.00%             | 2040-11-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2631, Class SA                                                              | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12318 | PA      | $13048.49     | 0.00%             | 2033-06-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2033212 | PA      | $1840992.05   | 0.05%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3849818 | PA      | $3743845.50   | 0.10%             | 2048-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69985 | PA      | $75953.95     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-25, Class FN                                                                   | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42266 | PA      | $41724.24     | 0.00%             | 2037-05-16      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                  | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238411 | PA      | $221919.09    | 0.01%             | 2034-09-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1920836 | PA      | $1740543.36   | 0.05%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3761026 | PA      | $3520335.66   | 0.09%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-113, Class FB                                                           | CUSIP: 31398GWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112755 | PA      | $111595.36    | 0.00%             | 2040-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-79, Class OK                                                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109591 | PA      | $92089.05     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3194, Class SA                                                              | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26498 | PA      | $2754.80      | 0.00%             | 2036-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 351, Class 7                                                                | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81505 | PA      | $10554.60     | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5671417 | PA      | $5267773.90   | 0.14%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3826514 | PA      | $3750731.58   | 0.10%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2431, Class F                                                               | CUSIP: 31339NQ74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240438 | PA      | $239666.16    | 0.01%             | 2032-03-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010491 | PA      | $914285.28    | 0.02%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776751 | PA      | $786308.34    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-64, Class SN                                                                   | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162054 | PA      | $8874.25      | 0.00%             | 2039-07-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1251425 | PA      | $1207618.51   | 0.03%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2224, Class CB                                                              | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8583 | PA      | $9177.67      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class ET                                                              | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351351 | PA      | $382745.52    | 0.01%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-6, Class SA                                                                    | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95363 | PA      | $803.90       | 0.00%             | 2039-02-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1421937 | PA      | $1366803.03   | 0.04%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66542 | PA      | $69979.46     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388PKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31289 | PA      | $31330.75     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A2                                       | CUSIP: 31392A5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137984 | PA      | $142412.71    | 0.00%             | 2041-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2074050.72   | 0.05%             | 2032-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2746145 | PA      | $2505490.99   | 0.06%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  3 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class B                                                                       | CUSIP: 269330AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1454278 | PA      | $1237980.30   | 0.03%             | 2055-09-20      | Fixed         | 4.15%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8185000 | PA      | $7781337.24   | 0.20%             | 2032-09-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class P                                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288785 | PA      | $240715.53    | 0.01%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065541 | PA      | $996256.44    | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14122 | PA      | $14464.13     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class TI                                                                   | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91746 | PA      | $13589.72     | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-40, Class SD                                                                   | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178840 | PA      | $11356.19     | 0.00%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-63, Class DA                                                            | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734512 | PA      | $691815.64    | 0.02%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XA                                         | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13477839 | PA      | $407813.80    | 0.01%             | 2052-10-15      | Variable      | 2.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1750757 | PA      | $1537155.93   | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                       | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44328 | PA      | $36049.31     | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                       | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90606 | PA      | $95870.44     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    719243 | PA      | $652768.65    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                                        | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class B                                          | CUSIP: 00489TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2000000 | PA      | $1921716.00   | 0.05%             | 2037-12-18      | Floating      | 5.34%                 | Yes           |                  3 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-13, Class 1A4                                       | CUSIP: 12669FJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148893 | PA      | $138001.52    | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4226486.36   | 0.11%             | 2032-11-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       887 | PA      | $907.06       | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895166 | PA      | $882234.38    | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5660579 | PA      | $5554279.22   | 0.14%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553035 | PA      | $1407186.04   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DDG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    487174 | PA      | $472273.12    | 0.01%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355756 | PA      | $349632.37    | 0.01%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617B0XY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3144117 | PA      | $3022233.84   | 0.08%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2018-1, Class B                                              | CUSIP: 252724AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    829252 | PA      | $810429.40    | 0.02%             | 2031-01-21      | Fixed         | 4.19%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3791219 | PA      | $3299846.14   | 0.09%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-25, Class SE                                                                   | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79773 | PA      | $4142.09      | 0.00%             | 2038-09-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4280, Class EO                                                              | CUSIP: 3137B6HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    506603 | PA      | $382249.36    | 0.01%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 31416BZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3991 | PA      | $3973.97      | 0.00%             | 2024-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22120932 | PA      | $19870963.56  | 0.51%             | 2029-05-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1438923 | PA      | $1345409.59   | 0.03%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRZ FHT Excess LLC                                                   | NRZ FHT Excess LLC, Series 2020-FHT1, Class A                                                    | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4727673 | PA      | $4324460.11   | 0.11%             | 2025-11-25      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-26CB, Class A9                                               | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306113 | PA      | $174298.30    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class B                                             | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2483393 | PA      | $2250619.43   | 0.06%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0A93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2306771 | PA      | $2096072.41   | 0.05%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-90                                                                             | CUSIP: 38374CUL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11578 | PA      | $11448.39     | 0.00%             | 2033-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297CGV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18230 | PA      | $18919.50     | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                         | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74095 | PA      | $70108.87     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1813, Class J                                                               | CUSIP: 3133T6TS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48005 | PA      | $328.53       | 0.00%             | 2023-11-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3549, Class FA                                                              | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12214 | PA      | $12208.32     | 0.00%             | 2039-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XB                                         | CUSIP: 21872NAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $1935119.70   | 0.05%             | 2052-10-15      | Variable      | 1.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2663290 | PA      | $2473690.62   | 0.06%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-67, Class SA                                                                   | CUSIP: 38373AQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160914 | PA      | $10556.18     | 0.00%             | 2039-08-16      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9K67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971378 | PA      | $989476.23    | 0.03%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                   | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74975 | PA      | $75621.52     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-20, Class MW                                                            | CUSIP: 31397QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1674114 | PA      | $1696699.81   | 0.04%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2039513 | PA      | $1848388.47   | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47695 | PA      | $48643.31     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3210                                                                        | CUSIP: 31397BDU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27285 | PA      | $26921.91     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2040, Class PE                                                              | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18338 | PA      | $19081.58     | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                                  | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6152000 | PA      | $5314055.15   | 0.14%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  3 | On Loan: No      |
| VOLT XCIX LLC                                                        | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                        | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7509326 | PA      | $6628172.58   | 0.17%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136249 | PA      | $142031.42    | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    572851 | PA      | $549437.49    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-1, Class 30PO                                      | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5077 | PA      | $3431.30      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A1                                                     | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1368479 | PA      | $1290125.07   | 0.03%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL5, Class A1                                                             | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9294802 | PA      | $8448045.91   | 0.22%             | 2051-08-25      | Variable      | 1.87%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15740494 | PA      | $14692157.89  | 0.38%             | 2054-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2015-M2, Class A3                                                              | CUSIP: 3136AMMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619428 | PA      | $1559309.57   | 0.04%             | 2024-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1259933 | PA      | $1235310.28   | 0.03%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3908149 | PA      | $3935581.91   | 0.10%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-31, Class AO                                                                   | CUSIP: 38375JQ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282291 | PA      | $230670.61    | 0.01%             | 2037-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-122, Class ZJ                                                           | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798223 | PA      | $829852.47    | 0.02%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3171, Class MO                                                              | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50405 | PA      | $44906.48     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K48, Class C                                                   | CUSIP: 30293HAG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6175000 | PA      | $5797666.13   | 0.15%             | 2048-08-25      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-41, Class WA                                                                   | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527642 | PA      | $540308.20    | 0.01%             | 2033-10-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-28, Class BO                                                                   | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7894 | PA      | $6732.32      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $5057207.16   | 0.13%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2005-A16, Class AX                                | CUSIP: 45660L2X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438818 | PA      | $83683.65     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QBZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207115 | PA      | $1161161.73   | 0.03%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2802, Class ZY                                                              | CUSIP: 31394YRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247138 | PA      | $255831.30    | 0.01%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48231 | PA      | $47406.73     | 0.00%             | 2034-10-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9RB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4705066 | PA      | $4298134.46   | 0.11%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5766779 | PA      | $4970052.83   | 0.13%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112709 | PA      | $118001.24    | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1142505 | PA      | $1098205.19   | 0.03%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19957 | PA      | $19690.37     | 0.00%             | 2037-09-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class OP                                                            | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66232 | PA      | $56053.39     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class ME                                                           | CUSIP: 31398TX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392193 | PA      | $374802.94    | 0.01%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2003-QS12, Class A5                                                           | CUSIP: 76110HDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9 | PA      | $0.00         | 0.00%             | 2018-06-25      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-105, Class AZ                                                           | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771053 | PA      | $787582.12    | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                 | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11712000 | PA      | $10031729.72  | 0.26%             | 2039-05-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class C                                | CUSIP: 826934AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6995060 | PA      | $7034641.96   | 0.18%             | 2039-07-20      | Fixed         | 7.63%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-126, Class AO                                                           | CUSIP: 31396L4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203259 | PA      | $167963.61    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1518, Class G                                                               | CUSIP: 312915YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       585 | PA      | $580.47       | 0.00%             | 2023-05-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3134                                                                        | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10534 | PA      | $9096.33      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-10, Class XI                                                            | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85442 | PA      | $6324.70      | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                                   | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3189198 | PA      | $3050087.27   | 0.08%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3298341 | PA      | $3051814.67   | 0.08%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-44, Class IU                                                            | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343496 | PA      | $57001.92     | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 374, Class 5                                                                | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50735 | PA      | $9539.19      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37954 | PA      | $38829.21     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-90, Class SI                                                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185526 | PA      | $9628.48      | 0.00%             | 2034-10-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-65, Class KI                                                            | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120624 | PA      | $12075.64     | 0.00%             | 2037-07-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-24, Class WA                                                                   | CUSIP: 38378C2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1745505 | PA      | $1795297.77   | 0.05%             | 2041-07-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2019-1A, Class B                                             | CUSIP: 252722AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251967 | PA      | $1217034.04   | 0.03%             | 2032-02-20      | Fixed         | 3.53%                 | Yes           |                  3 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class A2                                                           | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3900000 | PA      | $3521751.48   | 0.09%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912231 | PA      | $870133.49    | 0.02%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223069 | PA      | $1145086.97   | 0.03%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64620 | PA      | $65438.67     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3753                                                                        | CUSIP: 3137A3ML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761380 | PA      | $599608.91    | 0.02%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812032 | PA      | $736797.27    | 0.02%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class C                                                         | CUSIP: 00439KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5159069 | PA      | $4506978.62   | 0.12%             | 2040-10-20      | Fixed         | 2.35%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-111                                                                            | CUSIP: 38381YLH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6259499 | PA      | $997064.94    | 0.03%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E2                                           | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $4923589.80   | 0.13%             | 2038-10-17      | Fixed         | 2.53%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 1AF1                                        | CUSIP: 31396L5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69901 | PA      | $68978.45     | 0.00%             | 2046-10-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17516 | PA      | $17795.67     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753175 | PA      | $770620.93    | 0.02%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975464 | PA      | $957214.23    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                   | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79540 | PA      | $81233.18     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2383, Class FD                                                              | CUSIP: 31339GX63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5236 | PA      | $5213.99      | 0.00%             | 2031-11-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                                   | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3882769 | PA      | $3714097.87   | 0.10%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       695 | PA      | $707.35       | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IE                                                                  | CUSIP: 38380QYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9272533 | PA      | $233487.48    | 0.01%             | 2071-02-20      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-72, Class SX                                                            | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5250 | PA      | $5366.28      | 0.00%             | 2031-12-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417G4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3334446 | PA      | $3219894.44   | 0.08%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-1                                                                              | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23832 | PA      | $19234.47     | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                   | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296783 | PA      | $285229.07    | 0.01%             | 2033-02-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3957267 | PA      | $3334252.50   | 0.09%             | 2034-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561187 | PA      | $1369869.16   | 0.04%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4031997 | PA      | $3620603.79   | 0.09%             | 2066-10-25      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232556 | PA      | $1180547.09   | 0.03%             | 2032-10-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1437655 | PA      | $1261337.44   | 0.03%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3992757 | PA      | $3892732.09   | 0.10%             | 2047-11-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4071208 | PA      | $3598392.50   | 0.09%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736565 | PA      | $713964.43    | 0.02%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G85E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505393 | PA      | $516408.11    | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2351865 | PA      | $2248290.39   | 0.06%             | 2041-02-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JO                                                                   | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48240 | PA      | $39798.54     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-15, Class EI                                                                   | CUSIP: 38382MY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21949000 | PA      | $2513966.08   | 0.07%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 313637ZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825000 | PA      | $4534457.70   | 0.12%             | 2033-10-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UATG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166564 | PA      | $1124291.18   | 0.03%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929648 | PA      | $893601.49    | 0.02%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K46, Class C                                                   | CUSIP: 30292RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2827667.10   | 0.07%             | 2048-04-25      | Variable      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E07B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376869 | PA      | $369858.40    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33974 | PA      | $33510.66     | 0.00%             | 2036-07-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QNE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5669832 | PA      | $5417797.34   | 0.14%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1823378 | PA      | $1742437.01   | 0.05%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-8, Class 30PO                                         | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31475 | PA      | $20216.05     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617VQYJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164009 | PA      | $1079674.40   | 0.03%             | 2051-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-52                                                                      | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3056 | PA      | $416.94       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                     | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21141 | PA      | $19610.97     | 0.00%             | 2043-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class XM                                                            | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77356 | PA      | $78255.58     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2291866 | PA      | $2318611.02   | 0.06%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905716 | PA      | $885186.69    | 0.02%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class KI                                                                  | CUSIP: 38380LYP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10573621 | PA      | $310864.47    | 0.01%             | 2069-07-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3138                                                                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41143 | PA      | $34350.88     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-97, Class WA                                                                   | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    732408 | PA      | $765331.07    | 0.02%             | 2038-11-20      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101280 | PA      | $107222.84    | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 373, Class 1                                                                | CUSIP: 3136FCW44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811892 | PA      | $682598.22    | 0.02%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-7, Class 30PO                                         | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9376 | PA      | $8443.60      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H15, Class IJ                                                                  | CUSIP: 38380LD42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11216214 | PA      | $487905.32    | 0.01%             | 2069-08-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-90, Class LI                                                                   | CUSIP: 38379XR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1980115 | PA      | $263339.61    | 0.01%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                         | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12474 | PA      | $11644.93     | 0.00%             | 2033-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-54, Class Z                                                             | CUSIP: 31358UYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $1843.61      | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H25, Class HI                                                                  | CUSIP: 38375UZ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18340176 | PA      | $494354.30    | 0.01%             | 2067-10-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class WA                                                            | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279774 | PA      | $287427.06    | 0.01%             | 2039-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class TF                                                                  | CUSIP: 38380QXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9561094 | PA      | $9470648.36   | 0.25%             | 2071-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNRT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7453906 | PA      | $6744707.72   | 0.17%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33988 | PA      | $35049.62     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581718 | PA      | $583295.03    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-72, Class IE                                                            | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121150 | PA      | $19083.33     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $14958984.30  | 0.39%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10391 | PA      | $10545.99     | 0.00%             | 2035-02-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4240074.00   | 0.11%             | 2032-08-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84528 | PA      | $87113.83     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H03, Class FA                                                                  | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2307 | PA      | $2270.51      | 0.00%             | 2060-08-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                  | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7300828.00   | 0.19%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                          | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318930 | PA      | $35829.30     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $110833.01    | 0.00%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4274, Class EM                                                              | CUSIP: 3137B5UH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $898661.00    | 0.02%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971676 | PA      | $919986.11    | 0.02%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                               | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235260 | PA      | $16209.02     | 0.00%             | 2035-03-25      | Floating      | 3.06%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3511, Class SA                                                              | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54149 | PA      | $3055.82      | 0.00%             | 2039-02-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| JPMCC Re-REMIC Trust                                                 | JPMCC Re-REMIC Trust, Series 2015-FRR2, Class AK36                                               | CUSIP: 46644KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13390000 | PA      | $12714344.62  | 0.33%             | 2046-12-27      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141752 | PA      | $147725.36    | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1281811 | PA      | $1225418.38   | 0.03%             | 2040-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 13                                                              | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180044 | PA      | $36307.40     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                          | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77895 | PA      | $72476.57     | 0.00%             | 2037-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                   | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135462 | PA      | $130755.89    | 0.00%             | 2032-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                                                     | Welk Resorts LLC, Series 2019-AA, Class A                                                        | CUSIP: 94946DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1551429 | PA      | $1490914.39   | 0.04%             | 2038-06-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-46, Class Z                                                             | CUSIP: 31359PD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61738 | PA      | $63243.74     | 0.00%             | 2027-06-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 11                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129649 | PA      | $26605.93     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461468 | PA      | $432080.06    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32168 | PA      | $32332.37     | 0.00%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15072 | PA      | $15377.42     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A2                                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130000 | PA      | $112207.59    | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MJN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3769109 | PA      | $3501936.76   | 0.09%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                 | American General Mortgage Loan Trust, Series 2006-1, Class A5                                    | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1277 | PA      | $1330.32      | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class A                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $2823008.65   | 0.07%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2488645 | PA      | $2575142.10   | 0.07%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                         | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124152 | PA      | $112276.10    | 0.00%             | 2033-08-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97402 | PA      | $100158.06    | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1792636 | PA      | $1572824.38   | 0.04%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5679676 | PA      | $5251152.20   | 0.14%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33747 | PA      | $34334.13     | 0.00%             | 2036-08-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9754251 | PA      | $7941743.46   | 0.21%             | 2034-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H08, Class BF                                                                  | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649354 | PA      | $640441.47    | 0.02%             | 2063-03-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859596 | PA      | $908604.45    | 0.02%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                  | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238957 | PA      | $221253.49    | 0.01%             | 2028-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960113 | PA      | $844358.99    | 0.02%             | 2040-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3S79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    861204 | PA      | $831373.81    | 0.02%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                       | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227818 | PA      | $240946.55    | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1977278 | PA      | $1836551.98   | 0.05%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                           | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    701663 | PA      | $647687.41    | 0.02%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MG6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052622 | PA      | $934737.61    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233074 | PA      | $218347.15    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2904586 | PA      | $2717432.39   | 0.07%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21832 | PA      | $21332.37     | 0.00%             | 2035-03-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    966899 | PA      | $905506.56    | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2171547 | PA      | $2016957.54   | 0.05%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37096 | PA      | $34103.06     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                                   | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13754687 | PA      | $12970268.42  | 0.34%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1813, Class I                                                               | CUSIP: 3133T6TR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12419 | PA      | $12194.01     | 0.00%             | 2023-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H14, Class IY                                                                  | CUSIP: 38382YFL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  72108604 | PA      | $1468935.18   | 0.04%             | 2071-09-20      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Camillo Issuer LLC                                                   | Camillo Issuer LLC, Class 1-A-1                                                                  | CUSIP: 133715AA0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   3672580 | PA      | $3641363.15   | 0.09%             | 2023-12-05      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-73, Class PS                                                            | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38363 | PA      | $39391.17     | 0.00%             | 2035-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222021 | PA      | $1240230.84   | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1781212 | PA      | $1668090.75   | 0.04%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1865, Class D                                                               | CUSIP: 3133T7HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1302 | PA      | $1272.92      | 0.00%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1510401 | PA      | $1559376.43   | 0.04%             | 2049-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3859985 | PA      | $3842405.13   | 0.10%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3169355 | PA      | $2978919.47   | 0.08%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNU34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713624 | PA      | $686614.86    | 0.02%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    990605 | PA      | $972611.29    | 0.03%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2065, Class PX                                                              | CUSIP: 3133TEFM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720753 | PA      | $3627.48      | 0.00%             | 2027-08-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2001-35, Class SA                                                                   | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29047 | PA      | $10.22        | 0.00%             | 2031-08-16      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 213, Class 2                                                                | CUSIP: 31364HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       822 | PA      | $3.52         | 0.00%             | 2023-03-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J3, Class 4A1                                                | CUSIP: 12667FGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7114 | PA      | $7121.47      | 0.00%             | 2019-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716990 | PA      | $722078.14    | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT1, Class A                                | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10529707 | PA      | $9331631.79   | 0.24%             | 2026-03-25      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3864504.16   | 0.10%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-11, Class A4       | CUSIP: 93934FHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2609668 | PA      | $98102.10     | 0.00%             | 2036-01-25      | Floating      | 0.91%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23178 | PA      | $22742.28     | 0.00%             | 2036-10-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HR4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5075000 | PA      | $4971849.20   | 0.13%             | 2028-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-131, Class SK                                                           | CUSIP: 31393UZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3071 | PA      | $3067.63      | 0.00%             | 2034-01-25      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311734 | PA      | $323889.44    | 0.01%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-9, Class A1                                                  | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    604756 | PA      | $533118.25    | 0.01%             | 2034-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                 | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2521575.60   | 0.07%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28227 | PA      | $28637.72     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                              | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128510 | PA      | $111739.69    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1764746 | PA      | $1650067.35   | 0.04%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class OB                                                              | CUSIP: 3137B6QJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540778 | PA      | $439677.63    | 0.01%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class IH                                                                  | CUSIP: 38382JN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4014020 | PA      | $466903.21    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3810022 | PA      | $3633124.68   | 0.09%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160297 | PA      | $167557.01    | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363697 | PA      | $367363.52    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37712 | PA      | $38222.99     | 0.00%             | 2037-05-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2209, Class TC                                                              | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45903 | PA      | $48977.58     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3220 | PA      | $3214.67      | 0.00%             | 2027-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1732397 | PA      | $1751809.68   | 0.05%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-33, Class IA                                                            | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259412 | PA      | $45162.83     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-1, Class 30IO                                         | CUSIP: 05946XQF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83581 | PA      | $12597.16     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1695310 | PA      | $1585141.70   | 0.04%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LLET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8163417 | PA      | $7078095.16   | 0.18%             | 2037-11-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M4, Class A1                                                              | CUSIP: 3136BDYY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16026051 | PA      | $13779496.70  | 0.36%             | 2031-02-25      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K142, Class A2                  | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14100000 | PA      | $12024168.39  | 0.31%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VM3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073533 | PA      | $1064431.30   | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9007000 | PA      | $7684967.94   | 0.20%             | 2034-04-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XVXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3652013 | PA      | $3414646.61   | 0.09%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2014-K40, Class C                                                   | CUSIP: 30285FAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1626000 | PA      | $1560670.41   | 0.04%             | 2047-11-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SG                                                                   | CUSIP: 38375KKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226073 | PA      | $9441.60      | 0.00%             | 2037-06-20      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2019-1A, Class A                                             | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1501707 | PA      | $1462992.31   | 0.04%             | 2032-02-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                          | American Homes 4 Rent Trust, Series 2014-SFR3, Class C                                           | CUSIP: 02665XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570000 | PA      | $1519337.36   | 0.04%             | 2036-12-17      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                        | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198889 | PA      | $192845.53    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1131047 | PA      | $1130771.25   | 0.03%             | 2050-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                        | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296198 | PA      | $307282.64    | 0.01%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A3                                  | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     37272 | PA      | $34724.13     | 0.00%             | 2034-08-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6040976 | PA      | $5498189.37   | 0.14%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1864259 | PA      | $1693772.03   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-40, Class FJ                                                            | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62203 | PA      | $62141.97     | 0.00%             | 2040-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2779, Class ZC                                                              | CUSIP: 31394WGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1215784 | PA      | $1262637.08   | 0.03%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3288, Class GS                                                              | CUSIP: 31397FV66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11033 | PA      | $10777.10     | 0.00%             | 2037-03-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3770, Class PY                                                              | CUSIP: 3137A4ML8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1655481 | PA      | $1674975.94   | 0.04%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14252 | PA      | $14723.52     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     42025 | PA      | $41308.20     | 0.00%             | 2033-09-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class GZ                                                              | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27415 | PA      | $29283.15     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573242 | PA      | $579020.11    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4273033 | PA      | $3985900.68   | 0.10%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                        | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    329106 | PA      | $300207.81    | 0.01%             | 2033-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1455892 | PA      | $1402020.11   | 0.04%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZN                                                              | CUSIP: 3133TSTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71666 | PA      | $76246.11     | 0.00%             | 2029-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110755 | PA      | $106107.25    | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1570, Class F                                                               | CUSIP: 3133T0PQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $184.14       | 0.00%             | 2023-08-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IH                                                                  | CUSIP: 38380QXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17412998 | PA      | $595197.00    | 0.02%             | 2071-01-20      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    844853 | PA      | $862223.30    | 0.02%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291BJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1537 | PA      | $1535.42      | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                 | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58293 | PA      | $3.61         | 0.00%             | 2026-09-25      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                 | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1630768.20   | 0.04%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2225185 | PA      | $2259674.15   | 0.06%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WA                                                                  | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2489604 | PA      | $2468238.86   | 0.06%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30X1                                          | CUSIP: 576434RS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24158 | PA      | $3387.65      | 0.00%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XEB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9695212 | PA      | $8593330.88   | 0.22%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-122, Class HI                                                                  | CUSIP: 38382HNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22548515 | PA      | $3224947.28   | 0.08%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class CI                                                                   | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40434 | PA      | $4796.31      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-62, Class HJ                                                            | CUSIP: 31396QTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18278 | PA      | $18233.30     | 0.00%             | 2039-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-112, Class GI                                                                  | CUSIP: 38382HLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11769670 | PA      | $1818538.74   | 0.05%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Note                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       543 | NC      | $656398.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524750 | PA      | $517023.60    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16377 | PA      | $16918.73     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1430602 | PA      | $1407148.85   | 0.04%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-42, Class SB                                                                   | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172703 | PA      | $10527.75     | 0.00%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2887670 | PA      | $2913811.14   | 0.08%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39437 | PA      | $36914.15     | 0.00%             | 2034-04-21      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-27, Class SN                                                            | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46427 | PA      | $5181.59      | 0.00%             | 2038-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class SA                                                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665201 | PA      | $40337.31     | 0.00%             | 2038-05-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2021-JR1, Class A1                                                            | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5998659 | PA      | $5673123.44   | 0.15%             | 2066-09-27      | Variable      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1469474 | PA      | $1410669.43   | 0.04%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1552, Class IA                                                              | CUSIP: 3133T0YD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7327 | PA      | $7385.92      | 0.00%             | 2023-08-15      | Floating      | 13.06%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class GO                                                            | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75809 | PA      | $66736.23     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K65, Class C                                                   | CUSIP: 30302XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3662000 | PA      | $3370883.82   | 0.09%             | 2050-07-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WT5T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4761232 | PA      | $4878849.63   | 0.13%             | 2071-09-20      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2178, Class PB                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7294 | PA      | $7586.95      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903298 | PA      | $887935.06    | 0.02%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSSQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559333 | PA      | $532541.70    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class KI                                                                   | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117807 | PA      | $16220.72     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2117594 | PA      | $1858578.43   | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M13, Class A2                                                             | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $12876612.00  | 0.33%             | 2032-06-25      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4647458 | PA      | $4437030.66   | 0.11%             | 2040-11-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class JI                                                                  | CUSIP: 38380QXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27011584 | PA      | $990485.87    | 0.03%             | 2071-01-20      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135553 | PA      | $132854.29    | 0.00%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                   | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98744 | PA      | $96559.96     | 0.00%             | 2034-10-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KBX1, Class B                                                  | CUSIP: 30307LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2050000 | PA      | $1874093.19   | 0.05%             | 2026-01-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1082504 | PA      | $949801.05    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-52, Class PI                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178804 | PA      | $33121.64     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6338 | PA      | $6222.92      | 0.00%             | 2038-05-01      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-38, Class FB                                                            | CUSIP: 313920QJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32152 | PA      | $32070.09     | 0.00%             | 2031-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-1                                                     | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32618 | PA      | $22650.93     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-61, Class SB                                                            | CUSIP: 3136BBF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9034023 | PA      | $441633.64    | 0.01%             | 2050-09-25      | Floating      | 0.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class AS                                                                  | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366613 | PA      | $30978.22     | 0.00%             | 2039-11-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2003-7, Class A1                                                 | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155517 | PA      | $160146.02    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-160, Class PA                                                                  | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1566796 | PA      | $1522613.49   | 0.04%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33625 | PA      | $33181.94     | 0.00%             | 2036-11-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-54, Class WA                                                                   | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1278172 | PA      | $1282042.49   | 0.03%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16111 | PA      | $16545.61     | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138AFXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115468 | PA      | $116548.85    | 0.00%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2020-SBX, Class D                                              | CUSIP: 12598EAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3349662.40   | 0.09%             | 2038-01-10      | Variable      | 2.40%                 | Yes           |                  3 | On Loan: No      |
| Fn  aug32                                                            | Fn  aug32                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1529300 | PA      | $1576193.23   | 0.04%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-3F, Class 3A8                                               | CUSIP: 36228FJ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4170 | PA      | $4494.78      | 0.00%             | 2034-02-25      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 30X1                                          | CUSIP: 576434SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36495 | PA      | $4952.21      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105921 | PA      | $1037156.71   | 0.03%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36207T5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12198 | PA      | $12584.48     | 0.00%             | 2026-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX                 | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53095000 | PA      | $3533488.18   | 0.09%             | 2029-12-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class EP                                                            | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56231 | PA      | $52933.76     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1121429 | PA      | $1048522.02   | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1695, Class EB                                                              | CUSIP: 3133T4SX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5068 | PA      | $5075.07      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222765 | PA      | $1205101.01   | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-226, Class ZH                                                                  | CUSIP: 38383FBM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2149172 | PA      | $1531039.42   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financing Trust                                              | Bayview Financing Trust, Series 2021-2F, Class M2                                                | CUSIP: 07335MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2504441 | PA      | $2507196.11   | 0.06%             | 2032-01-10      | Floating      | 4.79%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class CI                                                                  | CUSIP: 38380LK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22401374 | PA      | $1346324.80   | 0.03%             | 2069-10-20      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| VSE VOI Mortgage LLC                                                 | VSE VOI Mortgage LLC, Series 2018-A, Class A                                                     | CUSIP: 918286AA3<br>LEI: 549300E4XED7XGXU7L27 | Long             | ABS-O            | CORP              | US        |    313903 | PA      | $303638.86    | 0.01%             | 2036-02-20      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-77, Class PC                                                            | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309529 | PA      | $319829.86    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FAMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549447 | PA      | $514069.10    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                  | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1370657.05   | 0.04%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3279215 | PA      | $2883956.90   | 0.07%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M10, Class X                                                              | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64034598 | PA      | $3581141.29   | 0.09%             | 2049-05-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-3, Class 1A1                                          | CUSIP: 05946XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47340 | PA      | $44342.55     | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WB                                                            | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022497 | PA      | $1054495.52   | 0.03%             | 2040-03-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3137, Class XP                                                              | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426707 | PA      | $445200.45    | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A2                                  | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122293 | PA      | $114222.51    | 0.00%             | 2029-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2021-1, Class A1                                                   | CUSIP: 03333HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12761708 | PA      | $11983601.25  | 0.31%             | 2026-10-25      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-2, Class F                                                              | CUSIP: 31392HZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271945 | PA      | $272105.99    | 0.01%             | 2033-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    622444 | PA      | $610411.33    | 0.02%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92218 | PA      | $93462.15     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4008063 | PA      | $3860315.19   | 0.10%             | 2050-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-16, Class IS                                                            | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103786 | PA      | $7584.96      | 0.00%             | 2038-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5401000 | PA      | $4708717.21   | 0.12%             | 2034-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MMWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2028046 | PA      | $2019071.66   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-65, Class QO                                                            | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43945 | PA      | $37322.57     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MBU                                    | CUSIP: 35563P7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10137089 | PA      | $7867009.40   | 0.20%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    793100 | PA      | $797272.78    | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391JWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25741 | PA      | $26349.12     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NGHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    803946 | PA      | $820670.48    | 0.02%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2690095 | PA      | $2718706.03   | 0.07%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3219, Class DI                                                              | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57199 | PA      | $10958.87     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3143, Class BC                                                              | CUSIP: 31396NG75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130536 | PA      | $133838.37    | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3275, Class FL                                                              | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17041 | PA      | $16742.12     | 0.00%             | 2037-02-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $25513527.75  | 0.66%             | 2052-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer