# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-23-016725
**Filing Date:** 2023-1
**Character Count:** 2365362
**Document Hash:** 2b8a106c9765658e806745e0471a5dac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016725.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016725

**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:** 23563110

**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 Core Bond Fund (Series ID: S000003477)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009615 | Class I      | WOBDX           |
| C000009616 | Class A      | PGBOX           |
| C000009618 | Class C      | OBOCX           |
| C000009619 | Class R6     | JCBUX           |
| C000033520 | Class R5     | JCBRX           |
| C000070638 | Class R2     | JCBZX           |
| C000173234 | Class R3     | JCBPX           |
| C000173235 | Class R4     | JCBQX           |

## Nport-Ex

**JPMorgan Core Bond 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 Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 27.7%** | **U.S. Treasury Obligations — 27.7%** | **U.S. Treasury Obligations — 27.7%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/15/2039 | 44436 | 42784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2039 | 55245 | 58232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | 54475 | 54326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2041 | 282192 | 203928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | 207900 | 159750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/15/2041 | 183595 | 128086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2041 | 14825 | 10797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/15/2042 | 200455 | 155940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2042 | 154890 | 127197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 2/15/2043 | 18180 | 15873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | 113140 | 106639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | 256218 | &nbsp;&nbsp;&nbsp;&nbsp; 245869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 2/15/2044 | 154280 | &nbsp;&nbsp;&nbsp;&nbsp; 145102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 | &nbsp;&nbsp; 50821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/15/2046 | &nbsp;&nbsp; 70000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2046 | 179932 | &nbsp;&nbsp;&nbsp;&nbsp; 130668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2048 | &nbsp;&nbsp; 78220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/15/2048 | &nbsp;&nbsp; 43243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2049 | &nbsp;&nbsp; 12946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2049 | 180150 | &nbsp;&nbsp;&nbsp;&nbsp; 130883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/15/2049 | &nbsp;&nbsp; 98830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp; 76853 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp; 25855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/2050 | &nbsp;&nbsp; 76730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2051 | 204145 | &nbsp;&nbsp;&nbsp;&nbsp; 134608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 5/15/2051 | 166815 | &nbsp;&nbsp;&nbsp;&nbsp; 124056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2051 | 144750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/15/2051 | 200075 | &nbsp;&nbsp;&nbsp;&nbsp; 131573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | 165840 | &nbsp;&nbsp;&nbsp;&nbsp; 119761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2052 | &nbsp;&nbsp; 90125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2052 | 120000 | &nbsp;&nbsp;&nbsp;&nbsp; 102750 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5250 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 9/30/2024 | &nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2025 | 155000 | &nbsp;&nbsp;&nbsp;&nbsp; 147535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 5/15/2025 | 105395 | &nbsp;&nbsp;&nbsp;&nbsp; 100282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/31/2025 | &nbsp;&nbsp; 40158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2025 | 141304 | &nbsp;&nbsp;&nbsp;&nbsp; 133576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/2025 | 110049 | &nbsp;&nbsp;&nbsp;&nbsp; 104452 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 1/31/2026 | 45675 | 40727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 2/28/2026 | 403160 | 359962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/28/2026 | 12550 | 11960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 4/30/2026 | 15670 | 14045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 6/30/2026 | 248957 | 223176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 9/30/2026 | 237283 | 211377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2026 | 10000 | 9288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 12/31/2026 | 64262 | 59056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2027 | 5196 | 4715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 5/31/2027 | 200000 | 189820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 7/31/2027 | 113240 | 107897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2027 | 111315 | 107915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | &nbsp;&nbsp; 31575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | 160035 | &nbsp;&nbsp;&nbsp;&nbsp; 140306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 4/30/2028 | &nbsp;&nbsp; 85520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 6/30/2028 | 782088 | &nbsp;&nbsp;&nbsp;&nbsp; 681699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 7/31/2028 | 225000 | &nbsp;&nbsp;&nbsp;&nbsp; 192929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/31/2029 | &nbsp;&nbsp; 48420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/28/2029 | 218300 | &nbsp;&nbsp;&nbsp;&nbsp; 195336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2029 | 569000 | &nbsp;&nbsp;&nbsp;&nbsp; 539216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2029 | 270000 | &nbsp;&nbsp;&nbsp;&nbsp; 261584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2029 | 109865 | &nbsp;&nbsp;&nbsp;&nbsp; 105681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 9/30/2029 | 175000 | &nbsp;&nbsp;&nbsp;&nbsp; 176203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 5/15/2031 | &nbsp;&nbsp; 23990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 8/15/2031 | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/15/2031 | &nbsp;&nbsp; 78783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | 412700 | &nbsp;&nbsp;&nbsp;&nbsp; 355373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | 116650 | &nbsp;&nbsp;&nbsp;&nbsp; 109341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 8/15/2032 | &nbsp;&nbsp; 85000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78731 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.26%, 8/15/2023 (a) | &nbsp;&nbsp; 22910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.34%, 2/15/2024 (a) | &nbsp;&nbsp; 92209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.11%, 5/15/2024 (a) | &nbsp;&nbsp; 67278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.27%, 8/15/2024 (a) | &nbsp;&nbsp; 51591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.47%, 11/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.04%, 2/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.53%, 2/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 5/15/2026 (a) | &nbsp;&nbsp; 24999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.69%, 11/15/2026 (a) | &nbsp;&nbsp; 10990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.39%, 11/15/2027 (a) | &nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.66%, 8/15/2029 (a) | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 11/15/2030 (a) | 100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 5/15/2032 (a) | 113297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.58%, 8/15/2032 (a) | 149800 | &nbsp;&nbsp;&nbsp;&nbsp; 103235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.02%, 11/15/2032 (a) | 122788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 2/15/2033 (a) | &nbsp;&nbsp; 36300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.36%, 5/15/2033 (a) | 108105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72322 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 8/15/2033 (a) | 24963 | 16506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.96%, 11/15/2033 (a) | 33709 | 22060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $10,212,123)<br>|  | &nbsp;&nbsp; 8863923 |
| **Corporate Bonds — 22.8%** | **Corporate Bonds — 22.8%** | **Corporate Bonds — 22.8%** |
| **Aerospace & Defense — 0.7%** | **Aerospace & Defense — 0.7%** | **Aerospace & Defense — 0.7%** |
| &nbsp;&nbsp;&nbsp; Airbus SE (France) 3.95%, 4/10/2047 (b) | 1046 | 851 |
| &nbsp;&nbsp;&nbsp; BAE Systems Holdings, Inc. (United Kingdom) 3.80%, 10/7/2024 (b) | 5000 | 4874 |
| &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 2/15/2031 (b) | 14745 | 11553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 10/11/2041 (b) | 2500 | 2563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2050 (b) | 5645 | 3783 |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.17%, 2/4/2023 | &nbsp;&nbsp; 11110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 2/1/2026 | &nbsp;&nbsp; 10982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp; 22360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/1/2030 | &nbsp;&nbsp; 14590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 5/1/2040 | &nbsp;&nbsp; 12565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 5/1/2050 | &nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13208 |
| &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/15/2031 | &nbsp;&nbsp; 14120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 4/27/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1818 |
| &nbsp;&nbsp;&nbsp; Leidos, Inc. 2.30%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6210 |
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp. 5.15%, 5/1/2040 | &nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12850 |
| &nbsp;&nbsp;&nbsp; Raytheon Technologies Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 6/1/2042 | &nbsp;&nbsp; 13927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 9/1/2051 | &nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2692 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 208930 |
| **Airlines — 0.1%** | **Airlines — 0.1%** | **Airlines — 0.1%** |
| &nbsp;&nbsp;&nbsp; Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | &nbsp;&nbsp; 15506 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14762 |
| **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Lear Corp. 2.60%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2557 |
| **Automobiles — 0.4%** | **Automobiles — 0.4%** | **Automobiles — 0.4%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 6/15/2026 (b) | &nbsp;&nbsp; 17530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7648 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Automobiles — continued** | **Automobiles — continued** | **Automobiles — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/10/2028 (b) | 12950 | 10582 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Finance North America LLC (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 2/22/2023 (b) | 5000 | 4981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 5/19/2025 (b) | 1200 | 1151 |
| &nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 9/17/2027 (b) | 39109 | 35236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.81%, 9/17/2030 (b) | 13000 | 11287 |
| &nbsp;&nbsp;&nbsp; Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | 12937 | 9991 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | 6615 | 5604 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 115933 |
| **Banks — 4.2%** | **Banks — 4.2%** | **Banks — 4.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 <br> (b) (c)<br>| &nbsp;&nbsp; 15800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12808 |
| &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 1/21/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 2/13/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2538 |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking Group Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/19/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.29%), 2.95%, 7/22/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4077 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/18/2025 | &nbsp;&nbsp; 14200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 3/25/2026 | &nbsp;&nbsp; 20400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 4/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/3/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (c) | &nbsp;&nbsp; 13400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9984 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.81%), 3.37%, 1/23/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/22/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.96%), 1.73%, 7/22/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | &nbsp;&nbsp; 10025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 4.38%, 4/27/2028 (c) | &nbsp;&nbsp; 26190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.37%), 3.59%, 7/21/2028 (c) | &nbsp;&nbsp; 29628 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | &nbsp;&nbsp; 49969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 2.09%, 6/14/2029 (c) | &nbsp;&nbsp; 19095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 2.69%, 4/22/2032 (c) | &nbsp;&nbsp; 22915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 2.57%, 10/20/2032 (c) | &nbsp;&nbsp; 19870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.68%, 6/19/2041 (c) | &nbsp;&nbsp; 54117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37752 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | &nbsp;&nbsp; 34388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28517 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) (USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4447 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) 1.60%, 10/4/2026 (b) | &nbsp;&nbsp; 23810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20743 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (c) | &nbsp;&nbsp; 21420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21064 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | 10428 | 7965 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | 12126 | 11136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c) | 4819 | 4186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.16%, 9/15/2029 (b) (c) | 5062 | 4106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.05%, 1/13/2031 (b) (c) | 12958 | 10744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | 26002 | 18919 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) 3.60%, 4/7/2032 | 8000 | 7119 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/10/2025 | 13411 | 13189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/2026 | 6200 | 6048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/29/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | &nbsp;&nbsp; 12240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | &nbsp;&nbsp; 41323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.15%), 3.52%, 10/27/2028 (c) | &nbsp;&nbsp; 11100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.18%), 2.52%, 11/3/2032 (c) | &nbsp;&nbsp; 17190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 2.90%, 11/3/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 5/6/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp; Comerica, Inc. 4.00%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8360 |
| &nbsp;&nbsp;&nbsp; Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3263 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/4/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.22%), 3.65%, 4/6/2028 (b) (c) | &nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11799 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/17/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | &nbsp;&nbsp; 15810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.81%, 1/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6118 |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (c) | &nbsp;&nbsp; 35450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35426 |
| &nbsp;&nbsp;&nbsp; Discover Bank 4.25%, 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7724 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | &nbsp;&nbsp; 22075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18769 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | &nbsp;&nbsp; 12403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.54%), 1.64%, 4/18/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 1.59%, 5/24/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) | &nbsp;&nbsp; 17888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 2.01%, 9/22/2028 (c) | &nbsp;&nbsp; 25865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.21%, 8/17/2029 (c) | &nbsp;&nbsp; 13465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.95%), 2.36%, 8/18/2031 (c) | &nbsp;&nbsp; 20470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.41%), 2.87%, 11/22/2032 (c) | &nbsp;&nbsp; 13085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 1/14/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3952 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/29/2027 | 2572 | 2434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 8840 | 7803 |
| &nbsp;&nbsp;&nbsp; KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c) | 3780 | 3582 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.58%, 12/10/2025 | 4700 | 4467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) | 15180 | 14333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | 12150 | 10470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/22/2028 | 6745 | 6338 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (c) | 17663 | 17556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.64%, 10/13/2027 (c) | &nbsp;&nbsp; 14590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 7/17/2030 | &nbsp;&nbsp; 23420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/18/2039 | &nbsp;&nbsp; 10875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8887 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5345 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c) | &nbsp;&nbsp; 13350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | &nbsp;&nbsp; 16739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.17%, 9/11/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028 (c) | &nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 2.87%, 9/13/2030 (c) | &nbsp;&nbsp; 11274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9470 |
| &nbsp;&nbsp;&nbsp; National Australia Bank Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.33%, 8/21/2030 (b) | &nbsp;&nbsp; 10430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (c) | &nbsp;&nbsp; 16395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13765 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (c) | &nbsp;&nbsp; 11990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp; 11867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6253 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b) | &nbsp;&nbsp; 31620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27379 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | &nbsp;&nbsp; 13130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13181 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.75%), 6.83%, 11/21/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | &nbsp;&nbsp; 14830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12578 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/17/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/14/2025 (b) | &nbsp;&nbsp; 20735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) | &nbsp;&nbsp; 31110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4002 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (c) | 3200 | 3177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (b) (c) | 9320 | 9613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (c) | 9000 | 8324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | 30497 | 26039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (c) | 2000 | 1769 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 4/2/2024 (b) | 1246 | 1223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 7/14/2026 | 6102 | 5615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.01%, 10/19/2026 | 2517 | 2332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 7/16/2029 | 25422 | 22124 |
| &nbsp;&nbsp;&nbsp; UniCredit SpA (Italy) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c) | &nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | &nbsp;&nbsp; 10885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | &nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4503 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 7/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.53%), 3.07%, 4/30/2041 (c) | &nbsp;&nbsp; 11119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/2/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/4/2044 | &nbsp;&nbsp; 11097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.13%), 4.61%, 4/25/2053 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2488 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Bank NA 5.85%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1756 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/18/2041 | &nbsp;&nbsp; 11364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7399 |
|  |  | &nbsp;&nbsp; 1354711 |
| **Beverages — 0.4%** | **Beverages — 0.4%** | **Beverages — 0.4%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC (Belgium) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 2/1/2036 | &nbsp;&nbsp; 21807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/1/2046 | &nbsp;&nbsp; 19194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17956 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1332 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide, Inc. (Belgium) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 4/15/2038 | &nbsp;&nbsp; 13419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 10/6/2048 | &nbsp;&nbsp; 28858 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 4/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 9838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 1/23/2059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 641 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Femsa SAB de CV (Mexico) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 1/22/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 9/1/2032 | &nbsp;&nbsp; 11205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8546 |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc. 5.25%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2933 |
| &nbsp;&nbsp;&nbsp; Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | &nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10650 |
| &nbsp;&nbsp;&nbsp; Keurig Dr Pepper, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 5/1/2030 | &nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11890 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Beverages — continued** | **Beverages — continued** | **Beverages — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.42%, 12/15/2046 | 3746 | 3137 |
| &nbsp;&nbsp;&nbsp; Molson Coors Beverage Co. 4.20%, 7/15/2046 | 5000 | 4020 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 133802 |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 6/15/2024 | 3041 | 2998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/21/2029 | 27601 | 25199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/15/2035 | 3881 | 3692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/14/2035 | 15614 | 14791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/2039 | 16908 | 14772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2042 | 9850 | 8934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/6/2042 | &nbsp;&nbsp; 12902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/21/2049 | &nbsp;&nbsp; 10194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8766 |
| &nbsp;&nbsp;&nbsp; Amgen, Inc. 3.15%, 2/21/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4513 |
| &nbsp;&nbsp;&nbsp; Baxalta, Inc. 5.25%, 6/23/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp; Biogen, Inc. 2.25%, 5/1/2030 | &nbsp;&nbsp; 10880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8976 |
| &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/1/2040 | &nbsp;&nbsp; 11110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7940 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 128173 |
| **Building Products — 0.1%** | **Building Products — 0.1%** | **Building Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Masco Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 8/15/2032 | &nbsp;&nbsp; 10095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2500 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17505 |
| **Capital Markets — 1.9%** | **Capital Markets — 1.9%** | **Capital Markets — 1.9%** |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2593 |
| &nbsp;&nbsp;&nbsp; Blackstone Secured Lending Fund 3.65%, 7/14/2023 | &nbsp;&nbsp; 13980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13817 |
| &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3664 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 3/29/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 3/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1186 |
| &nbsp;&nbsp;&nbsp; Credit Suisse AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FXD, 0.52%, 8/9/2023 | &nbsp;&nbsp; 13686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 9/9/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3980 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 6/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c) | &nbsp;&nbsp; 14408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.28%, 1/9/2028 (b) | &nbsp;&nbsp; 12016 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9791 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.41%), 3.87%, 1/12/2029 (b) (c) | 2991 | 2389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c) | 14885 | 10141 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 26205 | 25141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.87%), 2.13%, 11/24/2026 (c) | 13585 | 11890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 3.04%, 5/28/2032 (c) | 15977 | 12033 |
| &nbsp;&nbsp;&nbsp; FMR LLC 6.45%, 11/15/2039 (b) | 2242 | 2345 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | 13398 | 12898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/21/2025 | 10573 | 10367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/16/2026 | 18000 | 17121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 1/26/2027 | &nbsp;&nbsp; 18677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.80%), 1.43%, 3/9/2027 (c) | &nbsp;&nbsp; 32000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.91%), 1.95%, 10/21/2027 (c) | &nbsp;&nbsp; 14889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 3.62%, 3/15/2028 (c) | &nbsp;&nbsp; 15385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | &nbsp;&nbsp; 47377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 2.62%, 4/22/2032 (c) | &nbsp;&nbsp; 11700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.25%), 2.38%, 7/21/2032 (c) | &nbsp;&nbsp; 12855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (c) | &nbsp;&nbsp; 16126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.21%, 4/22/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 3.44%, 2/24/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4143 |
| &nbsp;&nbsp;&nbsp; Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) <br> (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5826 |
| &nbsp;&nbsp;&nbsp; Macquarie Group Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.21%, 11/22/2024 (b) | &nbsp;&nbsp; 22160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) | &nbsp;&nbsp; 22700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21418 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.99%), 2.19%, 4/28/2026 (c) | &nbsp;&nbsp; 17658 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 9/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 2.48%, 1/21/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | &nbsp;&nbsp; 13333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (c) | &nbsp;&nbsp; 17528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 1.79%, 2/13/2032 (c) | &nbsp;&nbsp; 11200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c) | &nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.49%), 3.22%, 4/22/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7041 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 1/16/2025 | &nbsp;&nbsp; 11898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.68%, 7/16/2030 | &nbsp;&nbsp; 12180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9739 |
| &nbsp;&nbsp;&nbsp; Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2511 |
| &nbsp;&nbsp;&nbsp; S&P Global, Inc. 2.90%, 3/1/2032 (b) | &nbsp;&nbsp; 13602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11721 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 9/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2425 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 1.36%, 1/30/2027 (b) (c) | 15100 | 13127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (c) | 8135 | 7869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (b) (c) | 17350 | 14909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 3/23/2028 (b) | 9000 | 8397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (c) | 6470 | 5506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | 10750 | 8139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | 10550 | 8231 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 600352 |
| **Chemicals — 0.3%** | **Chemicals — 0.3%** | **Chemicals — 0.3%** |
| &nbsp;&nbsp;&nbsp; Albemarle Corp. 5.45%, 12/1/2044 | 3800 | 3520 |
| &nbsp;&nbsp;&nbsp; CF Industries, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 6/1/2043 | &nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14618 |
| &nbsp;&nbsp;&nbsp; Dow Chemical Co. (The) 4.55%, 11/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. 5.32%, 11/15/2038 | &nbsp;&nbsp; 12320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11966 |
| &nbsp;&nbsp;&nbsp; International Flavors & Fragrances, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.27%, 11/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/26/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.47%, 12/1/2050 (b) | &nbsp;&nbsp; 12621 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8676 |
| &nbsp;&nbsp;&nbsp; LYB International Finance BV 4.88%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2709 |
| &nbsp;&nbsp;&nbsp; LYB International Finance III LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4468 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3351 |
| &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3805 |
| &nbsp;&nbsp;&nbsp; Union Carbide Corp. 7.75%, 10/1/2096 | &nbsp;&nbsp;&nbsp;&nbsp; 2719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3077 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78200 |
| **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2362 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Mexico City Airport Trust (Mexico) 5.50%, 7/31/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/15/2032 | &nbsp;&nbsp; 17240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2239 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16282 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| &nbsp;&nbsp;&nbsp; CRH America, Inc. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/18/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 5/18/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5487 |
| &nbsp;&nbsp;&nbsp; Martin Marietta Materials, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3348 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16930 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — 1.4%** | **Consumer Finance — 1.4%** | **Consumer Finance — 1.4%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 9/15/2023 | 31000 | 30616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 10/29/2023 | 15795 | 15094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 1/16/2024 | 4135 | 4077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/2025 | 844 | 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | 13141 | 13276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 10/1/2025 | 4342 | 4167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/30/2026 | 8311 | 7332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 4/3/2026 | 5633 | 5404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/2028 | 12605 | 10650 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/1/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 7/1/2024 (b) | &nbsp;&nbsp;&nbsp; 16176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 2/15/2025 (b) | &nbsp;&nbsp;&nbsp; 33120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp; 33000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 2/21/2026 (b) | &nbsp;&nbsp;&nbsp; 28294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp; 12901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | 110463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89347 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/29/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.86%), 1.88%, 11/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.06%), 4.93%, 5/10/2028 (c) | &nbsp;&nbsp;&nbsp; 13674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | &nbsp;&nbsp;&nbsp; 16445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12588 |
| &nbsp;&nbsp;&nbsp; General Motors Financial Co., Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/15/2024 | &nbsp;&nbsp;&nbsp; 12395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 1/8/2026 | &nbsp;&nbsp;&nbsp; 24223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 1/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/8/2031 | &nbsp;&nbsp;&nbsp; 10244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 6/10/2031 | &nbsp;&nbsp;&nbsp; 20010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15710 |
| &nbsp;&nbsp;&nbsp; HSBC Finance Corp. 7.63%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9457 |
| &nbsp;&nbsp;&nbsp; Park Aerospace Holdings Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/15/2023 (b) | &nbsp;&nbsp;&nbsp; 18247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 2/15/2024 (b) | &nbsp;&nbsp;&nbsp; 23761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23412 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 455771 |
| **Containers & Packaging — 0.0% ^** | **Containers & Packaging — 0.0% ^** | **Containers & Packaging — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2643 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10821 |
| **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Claremont Mckenna College Series 2019, 3.38%, 1/1/2050 | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7096 |
| &nbsp;&nbsp;&nbsp; Clark University 3.32%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4850 |
| &nbsp;&nbsp;&nbsp; Pepperdine University Series 2020, 3.30%, 12/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 9620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6252 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Diversified Consumer Services — continued** | **Diversified Consumer Services — continued** | **Diversified Consumer Services — continued** |
| &nbsp;&nbsp;&nbsp; University of Miami Series 2022, 4.06%, 4/1/2052 | 6570 | 5460 |
| &nbsp;&nbsp;&nbsp; University of Southern California Series A, 3.23%, 10/1/2120 | 9370 | 5403 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29061 |
| **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; CK Hutchison International 16 Ltd. (United Kingdom) 2.75%, 10/3/2026 (b) | 6500 | 6020 |
| &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 4/5/2027 (b) | 13295 | 12445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/5/2029 (b) | 9710 | 8839 |
| &nbsp;&nbsp;&nbsp; GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b) | 11667 | 11007 |
| &nbsp;&nbsp;&nbsp; LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | 30170 | 25803 |
| &nbsp;&nbsp;&nbsp; Mitsubishi HC Capital, Inc. (Japan) 3.56%, 2/28/2024 (b) | 8350 | 8128 |
| &nbsp;&nbsp;&nbsp; Private Export Funding Corp. Series KK, 3.55%, 1/15/2024 | &nbsp;&nbsp; 12505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12340 |
| &nbsp;&nbsp;&nbsp; Shell International Finance BV (Netherlands) 4.13%, 5/11/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8455 |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 10/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/27/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 9/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2317 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 103943 |
| **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/1/2032 | &nbsp;&nbsp; 26520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp; 35836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 6/1/2051 | &nbsp;&nbsp; 16997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 9/15/2055 | &nbsp;&nbsp; 25312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/1/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 4454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3234 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3392 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1887 |
| &nbsp;&nbsp;&nbsp; Telefonica Emisiones SA (Spain) 4.67%, 3/6/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 9130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7434 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 3/22/2028 | &nbsp;&nbsp; 12209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 9/21/2028 | &nbsp;&nbsp; 11983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.68%, 10/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.36%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/20/2040 | &nbsp;&nbsp; 27316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 3/22/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/22/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4948 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 160700 |
| **Electric Utilities — 1.5%** | **Electric Utilities — 1.5%** | **Electric Utilities — 1.5%** |
| &nbsp;&nbsp;&nbsp; AEP Transmission Co. LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 6/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1869 |
| &nbsp;&nbsp;&nbsp; Alabama Power Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 808 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 1/15/2042 | 923 | 743 |
| &nbsp;&nbsp;&nbsp; Appalachian Power Co. Series P, 6.70%, 8/15/2037 | 3740 | 3985 |
| &nbsp;&nbsp;&nbsp; Arizona Public Service Co. 5.05%, 9/1/2041 | 3036 | 2680 |
| &nbsp;&nbsp;&nbsp; Ausgrid Finance Pty. Ltd. (Australia) 4.35%, 8/1/2028 (b) | 1500 | 1399 |
| &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2046 | 3755 | 2834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 9/15/2049 | 8020 | 5722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 6/15/2050 | 7770 | 5227 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Houston Electric LLC 3.95%, 3/1/2048 | 1066 | 883 |
| &nbsp;&nbsp;&nbsp; China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) | 10625 | 10127 |
| &nbsp;&nbsp;&nbsp; Cleveland Electric Illuminating Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 847 |
| &nbsp;&nbsp;&nbsp; Commonwealth Edison Co. 3.65%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2799 |
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC 4.25%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1071 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/1/2046 | &nbsp;&nbsp;&nbsp; 16415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12249 |
| &nbsp;&nbsp;&nbsp; Duke Energy Florida Project Finance LLC Series 2032, 2.86%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7974 |
| &nbsp;&nbsp;&nbsp; Duke Energy Indiana LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series YYY, 3.25%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4791 |
| &nbsp;&nbsp;&nbsp; Duke Energy Ohio, Inc. 3.70%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2463 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6306 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress NC Storm Funding LLC Series A-2, 2.39%, 7/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4037 |
| &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.62%, 8/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8002 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 1/7/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4921 |
| &nbsp;&nbsp;&nbsp; Edison International  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6219 |
| &nbsp;&nbsp;&nbsp; Emera US Finance LP (Canada) 4.75%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 9540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7555 |
| &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/6/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/7/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5243 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2305 |
| &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1420 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 6/1/2031 | 4606 | 3971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/15/2033 | 3430 | 3119 |
| &nbsp;&nbsp;&nbsp; Evergy Metro, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 3/15/2023 | 3255 | 3240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/1/2041 | 8968 | 8624 |
| &nbsp;&nbsp;&nbsp; Evergy, Inc. 2.90%, 9/15/2029 | 14800 | 12776 |
| &nbsp;&nbsp;&nbsp; Exelon Corp. 3.40%, 4/15/2026 | 1177 | 1125 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 40720 | 37070 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | 830 | 676 |
| &nbsp;&nbsp;&nbsp; Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 12384 | 11532 |
| &nbsp;&nbsp;&nbsp; Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | 2642 | 2775 |
| &nbsp;&nbsp;&nbsp; ITC Holdings Corp. 2.95%, 5/14/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5793 |
| &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1738 |
| &nbsp;&nbsp;&nbsp; John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3373 |
| &nbsp;&nbsp;&nbsp; Massachusetts Electric Co. 4.00%, 8/15/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3704 |
| &nbsp;&nbsp;&nbsp; Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | &nbsp;&nbsp;&nbsp; 12530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11818 |
| &nbsp;&nbsp;&nbsp; Nevada Power Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, 6.65%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1287 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 |
| &nbsp;&nbsp;&nbsp; New England Power Co. (United Kingdom) 3.80%, 12/5/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2277 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2123 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2930 |
| &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/2/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/2/2027 (b) | &nbsp;&nbsp;&nbsp; 13055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11172 |
| &nbsp;&nbsp;&nbsp; Ohio Edison Co. 6.88%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 852 |
| &nbsp;&nbsp;&nbsp; Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2040 |
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 2/16/2024 | &nbsp;&nbsp;&nbsp; 26475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 8/15/2042 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2882 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3419 |
| &nbsp;&nbsp;&nbsp; PacifiCorp 4.15%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1912 |
| &nbsp;&nbsp;&nbsp; PECO Energy Co. 2.80%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4277 |
| &nbsp;&nbsp;&nbsp; Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1422 |
| &nbsp;&nbsp;&nbsp; Pepco Holdings LLC 7.45%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3767 |
| &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8749 |
| &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 4.26%, 6/1/2036 | &nbsp;&nbsp;&nbsp; 10550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9864 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-4, 5.21%, 12/1/2047 | 7600 | 7453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 5.10%, 6/1/2052 | 15355 | 14799 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 6.50%, 11/15/2037 | 1184 | 1305 |
| &nbsp;&nbsp;&nbsp; PPL Electric Utilities Corp. 3.00%, 10/1/2049 | 10000 | 6832 |
| &nbsp;&nbsp;&nbsp; Progress Energy, Inc. 7.00%, 10/30/2031 | 2600 | 2847 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado 3.55%, 6/15/2046 | 1175 | 879 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G, 6.63%, 11/15/2037 | 3901 | 4204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K, 3.15%, 8/15/2051 | 12330 | 8294 |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 5/15/2025 | 6334 | 6078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 994 |
| &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 1.94%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 2.51%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5088 |
| &nbsp;&nbsp;&nbsp; Southern California Edison Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.50%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 3/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 12/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.13%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.95%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1971 |
| &nbsp;&nbsp;&nbsp; Southwestern Public Service Co. 4.50%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2393 |
| &nbsp;&nbsp;&nbsp; State Grid Overseas Investment BVI Ltd. (China) 3.75%, 5/2/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1991 |
| &nbsp;&nbsp;&nbsp; Toledo Edison Co. (The) 6.15%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6083 |
| &nbsp;&nbsp;&nbsp; Union Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 6/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5195 |
| &nbsp;&nbsp;&nbsp; Virginia Electric and Power Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2202 |
| &nbsp;&nbsp;&nbsp; Xcel Energy, Inc. 4.80%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 737 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 489878 |
| **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Eaton Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 4/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/2/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1156 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3016 |
| **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Arrow Electronics, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 9/8/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 3162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3037 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electronic Equipment, Instruments & Components — continued** | **Electronic Equipment, Instruments & Components — continued** | **Electronic Equipment, Instruments & Components — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 1/12/2028 | 3541 | 3255 |
| &nbsp;&nbsp;&nbsp; Corning, Inc. 5.35%, 11/15/2048 | 6270 | 5853 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13734 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Baker Hughes Holdings LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.49%, 5/1/2030 | 10000 | 9621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 9/15/2040 | 3910 | 3662 |
| &nbsp;&nbsp;&nbsp; Halliburton Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 11/15/2035 | 3583 | 3358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 8/1/2043 | 2375 | 2075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.60%, 8/15/2096 (b) | 2242 | 2127 |
| &nbsp;&nbsp;&nbsp; Schlumberger Holdings Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/21/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6657 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27547 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Take-Two Interactive Software, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 3/28/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 4/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3470 |
| &nbsp;&nbsp;&nbsp; Walt Disney Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 4/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 11/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3051 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13460 |
| **Equity Real Estate Investment Trusts (REITs) — 1.2%** | **Equity Real Estate Investment Trusts (REITs) — 1.2%** | **Equity Real Estate Investment Trusts (REITs) — 1.2%** |
| &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/1/2033 | &nbsp;&nbsp; 12120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7251 |
| &nbsp;&nbsp;&nbsp; American Tower Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2028 | &nbsp;&nbsp; 10510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/2030 | &nbsp;&nbsp; 19410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15121 |
| &nbsp;&nbsp;&nbsp; Boston Properties LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 9/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3003 |
| &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 8/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4949 |
| &nbsp;&nbsp;&nbsp; Corporate Office Properties LP 2.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2662 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc. 4.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1973 |
| &nbsp;&nbsp;&nbsp; Digital Realty Trust LP 3.70%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2339 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** |
| &nbsp;&nbsp;&nbsp; Equinix, Inc. 2.90%, 11/18/2026 | 20442 | 18685 |
| &nbsp;&nbsp;&nbsp; Essex Portfolio LP 1.65%, 1/15/2031 | 8950 | 6707 |
| &nbsp;&nbsp;&nbsp; GAIF Bond Issuer Pty. Ltd. (Australia) 3.40%, 9/30/2026 (b) | 7843 | 7228 |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | 5157 | 4691 |
| &nbsp;&nbsp;&nbsp; Healthcare Realty Holdings LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 2/15/2030 | 9814 | 8236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 3/15/2031 | 8000 | 6077 |
| &nbsp;&nbsp;&nbsp; Healthpeak Properties, Inc. 3.40%, 2/1/2025 | 162 | 156 |
| &nbsp;&nbsp;&nbsp; Life Storage LP 2.40%, 10/15/2031 | 15650 | 12079 |
| &nbsp;&nbsp;&nbsp; LifeStorage LP 3.50%, 7/1/2026 | 8937 | 8437 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4299 |
| &nbsp;&nbsp;&nbsp; National Retail Properties, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5171 |
| &nbsp;&nbsp;&nbsp; Office Properties Income Trust  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2024 | &nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 2/1/2027 | &nbsp;&nbsp;&nbsp; 15955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5763 |
| &nbsp;&nbsp;&nbsp; Physicians Realty LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4870 |
| &nbsp;&nbsp;&nbsp; Prologis LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3202 |
| &nbsp;&nbsp;&nbsp; Public Storage 2.25%, 11/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7548 |
| &nbsp;&nbsp;&nbsp; Realty Income Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2086 |
| &nbsp;&nbsp;&nbsp; Regency Centers LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/15/2029 | &nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8917 |
| &nbsp;&nbsp;&nbsp; Sabra Health Care LP 3.20%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7206 |
| &nbsp;&nbsp;&nbsp; Safehold Operating Partnership LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 6/15/2031 | &nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2283 |
| &nbsp;&nbsp;&nbsp; Scentre Group Trust 1 (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/28/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5240 |
| &nbsp;&nbsp;&nbsp; Scentre Group Trust 2 (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) (c) | &nbsp;&nbsp;&nbsp; 17060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.69%), 5.12%, 9/24/2080 (b) (c) | &nbsp;&nbsp;&nbsp; 10425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8424 |
| &nbsp;&nbsp;&nbsp; Simon Property Group LP 3.25%, 9/13/2049 | &nbsp;&nbsp;&nbsp; 12865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8563 |
| &nbsp;&nbsp;&nbsp; SITE Centers Corp. 4.70%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4372 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** |
| &nbsp;&nbsp;&nbsp; UDR, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/1/2026 | 3831 | 3517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 1/15/2028 | 1354 | 1231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2031 | 4750 | 3927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 8/1/2032 | 5520 | 4099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 11/1/2034 | 6440 | 5037 |
| &nbsp;&nbsp;&nbsp; Ventas Realty LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/1/2024 | 4032 | 3930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/1/2025 | 1929 | 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/15/2026 | 770 | 744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | 7254 | 6717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4057 |
| &nbsp;&nbsp;&nbsp; Vornado Realty LP 3.50%, 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4482 |
| &nbsp;&nbsp;&nbsp; Welltower, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4239 |
| &nbsp;&nbsp;&nbsp; WP Carey, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 2/1/2032 | &nbsp;&nbsp;&nbsp; 10980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | &nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8869 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 397918 |
| **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** |
| &nbsp;&nbsp;&nbsp; 7-Eleven, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 2/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9074 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/10/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6183 |
| &nbsp;&nbsp;&nbsp; Alimentation Couche-Tard, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 7/26/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.44%, 5/13/2041 (b) | &nbsp;&nbsp;&nbsp; 10460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 5/13/2051 (b) | &nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7197 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.51%, 1/10/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013, 4.70%, 1/10/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014, 4.16%, 8/11/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp; Kroger Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 10/15/2046 | &nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8505 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70425 |
| **Food Products — 0.2%** | **Food Products — 0.2%** | **Food Products — 0.2%** |
| &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 8/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/14/2031 | &nbsp;&nbsp;&nbsp; 22130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18374 |
| &nbsp;&nbsp;&nbsp; Campbell Soup Co. 3.13%, 4/24/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3316 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Food Products — continued** | **Food Products — continued** | **Food Products — continued** |
| &nbsp;&nbsp;&nbsp; Cargill, Inc. 4.38%, 4/22/2052 (b) | 5890 | 5207 |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. 5.30%, 11/1/2038 | 3420 | 3255 |
| &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co. 4.38%, 6/1/2046 | 8568 | 7222 |
| &nbsp;&nbsp;&nbsp; Mead Johnson Nutrition Co. (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/2025 | 993 | 979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 6/1/2044 | 955 | 863 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 8/15/2034 | 5000 | 4875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/15/2044 | 3000 | 2840 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54105 |
| **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4985 |
| &nbsp;&nbsp;&nbsp; Boston Gas Co. 4.49%, 2/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1833 |
| &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.87%, 3/4/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 3/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4887 |
| &nbsp;&nbsp;&nbsp; KeySpan Gas East Corp. 2.74%, 8/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3809 |
| &nbsp;&nbsp;&nbsp; Piedmont Natural Gas Co., Inc. 3.50%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1569 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6134 |
| &nbsp;&nbsp;&nbsp; Southern Natural Gas Co. LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2192 |
| &nbsp;&nbsp;&nbsp; Southwest Gas Corp. 3.80%, 9/29/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2494 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42863 |
| **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Becton Dickinson and Co. 3.79%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1632 |
| &nbsp;&nbsp;&nbsp; Boston Scientific Corp. 4.55%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 5011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4522 |
| &nbsp;&nbsp;&nbsp; DH Europe Finance II SARL 3.25%, 11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5684 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11838 |
| **Health Care Providers & Services — 1.0%** | **Health Care Providers & Services — 1.0%** | **Health Care Providers & Services — 1.0%** |
| &nbsp;&nbsp;&nbsp; Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8021 |
| &nbsp;&nbsp;&nbsp; Aetna, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 12/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531 |
| &nbsp;&nbsp;&nbsp; Banner Health 1.90%, 1/1/2031 | &nbsp;&nbsp;&nbsp; 13950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11137 |
| &nbsp;&nbsp;&nbsp; BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 9475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7618 |
| &nbsp;&nbsp;&nbsp; Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2673 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Series 2020, 2.93%, 7/15/2050 | &nbsp;&nbsp;&nbsp; 11530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7296 |
| &nbsp;&nbsp;&nbsp; Cigna Corp. 4.80%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1729 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.19%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4291 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/1/2050 | 6600 | 4825 |
| &nbsp;&nbsp;&nbsp; Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | 10450 | 7538 |
| &nbsp;&nbsp;&nbsp; CVS Health Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/25/2028 | 2122 | 2063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 7/20/2035 | 3500 | 3350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 3/25/2048 | 23852 | 22150 |
| &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/1/2028 | 5485 | 5292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2042 | 3477 | 3170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 1/15/2043 | 3394 | 3135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 8/15/2044 | 4149 | 3731 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc. Series 2020, 2.88%, 9/1/2050 | &nbsp;&nbsp; 11100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7311 |
| &nbsp;&nbsp;&nbsp; Hartford HealthCare Corp. 3.45%, 7/1/2054 | &nbsp;&nbsp; 23430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16478 |
| &nbsp;&nbsp;&nbsp; HCA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 6/15/2026 | &nbsp;&nbsp; 27070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2047 | &nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6831 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4617 |
| &nbsp;&nbsp;&nbsp; Mayo Clinic Series 2016, 4.13%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2534 |
| &nbsp;&nbsp;&nbsp; MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5312 |
| &nbsp;&nbsp;&nbsp; Memorial Health Services 3.45%, 11/1/2049 | &nbsp;&nbsp; 25595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19066 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 3335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2757 |
| &nbsp;&nbsp;&nbsp; Mount Sinai Hospitals Group, Inc. Series 2017, 3.98%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2174 |
| &nbsp;&nbsp;&nbsp; MultiCare Health System 2.80%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4795 |
| &nbsp;&nbsp;&nbsp; MyMichigan Health Series 2020, 3.41%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3772 |
| &nbsp;&nbsp;&nbsp; Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3753 |
| &nbsp;&nbsp;&nbsp; NYU Langone Hospitals Series 2020, 3.38%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 9170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6356 |
| &nbsp;&nbsp;&nbsp; Providence St. Joseph Health Obligated Group Series H, 2.75%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2767 |
| &nbsp;&nbsp;&nbsp; Queen's Health Systems (The) 4.81%, 7/1/2052 | &nbsp;&nbsp; 18840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17642 |
| &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc. 3.45%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1609 |
| &nbsp;&nbsp;&nbsp; Texas Health Resources  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.33%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 4275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3616 |
| &nbsp;&nbsp;&nbsp; Trinity Health Corp. Series 2019, 3.43%, 12/1/2048 | &nbsp;&nbsp; 20450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15161 |
| &nbsp;&nbsp;&nbsp; UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5634 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 8210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 9740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10779 |
| &nbsp;&nbsp;&nbsp; Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1297 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 325340 |
| **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Booking Holdings, Inc. 2.75%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1914 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Hotels, Restaurants & Leisure — continued** | **Hotels, Restaurants & Leisure — continued** | **Hotels, Restaurants & Leisure — continued** |
| &nbsp;&nbsp;&nbsp; McDonald's Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/9/2035 | 6540 | 6337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 3/1/2047 | 3210 | 2855 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11106 |
| **Household Durables — 0.1%** | **Household Durables — 0.1%** | **Household Durables — 0.1%** |
| &nbsp;&nbsp;&nbsp; Lennar Corp. 4.50%, 4/30/2024 | 6800 | 6702 |
| &nbsp;&nbsp;&nbsp; MDC Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 1/15/2030 | 10000 | 8067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2031 | 5105 | 3625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.97%, 8/6/2061 | 7995 | 4414 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22808 |
| **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust 1.84%, 11/15/2023 (b) | &nbsp;&nbsp; 27653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26074 |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/1/2025 | &nbsp;&nbsp; 11035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 10/1/2039 | &nbsp;&nbsp; 11985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1624 |
| &nbsp;&nbsp;&nbsp; Southern Power Co. 5.15%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 7079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6428 |
| &nbsp;&nbsp;&nbsp; Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2474 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59682 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |
| &nbsp;&nbsp;&nbsp; GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | &nbsp;&nbsp; 28574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26970 |
| **Insurance — 0.8%** | **Insurance — 0.8%** | **Insurance — 0.8%** |
| &nbsp;&nbsp;&nbsp; AIA Group Ltd. (Hong Kong) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 4/6/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/9/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 9/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5389 |
| &nbsp;&nbsp;&nbsp; AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8921 |
| &nbsp;&nbsp;&nbsp; Alleghany Corp. 3.63%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5928 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 6/25/2024 (b) | &nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/14/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 1/8/2026 (b) | &nbsp;&nbsp; 13850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/12/2026 (b) | &nbsp;&nbsp; 42215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37962 |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/15/2042 | &nbsp;&nbsp; 13241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 3/15/2052 | &nbsp;&nbsp; 24230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19784 |
| &nbsp;&nbsp;&nbsp; CNA Financial Corp. 3.95%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2633 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2584 |
| &nbsp;&nbsp;&nbsp; CNO Global Funding 1.75%, 10/7/2026 (b) | &nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9903 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding 1.75%, 6/30/2026 (b) | &nbsp;&nbsp; 12780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11369 |
| &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 1/22/2070 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 1/24/2077 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1367 |
| &nbsp;&nbsp;&nbsp; Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6050 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Insurance — continued** | **Insurance — continued** | **Insurance — continued** |
| &nbsp;&nbsp;&nbsp; John Hancock Life Insurance Co. 7.38%, 2/15/2024 (b) | 1000 | 1021 |
| &nbsp;&nbsp;&nbsp; Liberty Mutual Group, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.57%, 2/1/2029 (b) | 3049 | 2834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/15/2050 (b) | 6000 | 4228 |
| &nbsp;&nbsp;&nbsp; Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) | 1350 | 1452 |
| &nbsp;&nbsp;&nbsp; MetLife, Inc. 4.13%, 8/13/2042 | 2027 | 1728 |
| &nbsp;&nbsp;&nbsp; New York Life Global Funding 3.00%, 1/10/2028 (b) | 4854 | 4510 |
| &nbsp;&nbsp;&nbsp; New York Life Insurance Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/15/2050 (b) | 9600 | 7365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/15/2069 (b) | 11250 | 9259 |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | 12520 | 10605 |
| &nbsp;&nbsp;&nbsp; Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2954 |
| &nbsp;&nbsp;&nbsp; Prudential Financial, Inc. 3.91%, 12/7/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7396 |
| &nbsp;&nbsp;&nbsp; Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | &nbsp;&nbsp; 10349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, <br> 4/2/2049 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6747 |
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 9/15/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.27%, 5/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4617 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 253150 |
| **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/22/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 4/13/2052 | &nbsp;&nbsp; 27400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/12/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5022 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36937 |
| **IT Services — 0.2%** | **IT Services — 0.2%** | **IT Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 9/14/2026 | &nbsp;&nbsp; 14101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 9/14/2031 | &nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7689 |
| &nbsp;&nbsp;&nbsp; Fiserv, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4809 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3311 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47670 |
| **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Thermo Fisher Scientific, Inc. 2.80%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5076 |
| **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
| &nbsp;&nbsp;&nbsp; nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6245 |
| &nbsp;&nbsp;&nbsp; Parker-Hannifin Corp. 4.45%, 11/21/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3264 |
| &nbsp;&nbsp;&nbsp; Xylem, Inc. 2.25%, 1/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6013 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15522 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/2035 | 4374 | 4304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 4/1/2038 | 4923 | 4212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | 12020 | 8125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 3/1/2042 | 7800 | 5285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/1/2050 | 13160 | 9874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 4/1/2051 | 19270 | 12309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 6/1/2052 | 9380 | 6230 |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 8/15/2025 | 2773 | 2688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 5/1/2028 | 6115 | 5796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2033 | &nbsp;&nbsp; 16564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/1/2039 | &nbsp;&nbsp; 19265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/1/2051 | &nbsp;&nbsp; 14886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | &nbsp;&nbsp; 15473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 609 |
| &nbsp;&nbsp;&nbsp; Cox Communications, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 10/1/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5131 |
| &nbsp;&nbsp;&nbsp; Discovery Communications LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 9/20/2047 | &nbsp;&nbsp; 11160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 6989 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4480 |
| &nbsp;&nbsp;&nbsp; Grupo Televisa SAB (Mexico) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 1/31/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1313 |
| &nbsp;&nbsp;&nbsp; Paramount Global  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1485 |
| &nbsp;&nbsp;&nbsp; Sky Ltd. (United Kingdom) 3.75%, 9/16/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1615 |
| &nbsp;&nbsp;&nbsp; TCI Communications, Inc. 7.13%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1320 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3412 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.30%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5908 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 186739 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &nbsp;&nbsp;&nbsp; Anglo American Capital plc (South Africa) 3.63%, 9/11/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3172 |
| &nbsp;&nbsp;&nbsp; Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1870 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Metals & Mining — continued** | **Metals & Mining — continued** | **Metals & Mining — continued** |
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 5/30/2023 (b) | 4240 | 4210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 4/29/2024 (b) | 1967 | 1944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 9/1/2030 (b) | 16105 | 13069 |
| &nbsp;&nbsp;&nbsp; Newcrest Finance Pty. Ltd. (Australia) 3.25%, 5/13/2030 (b) | 5845 | 4937 |
| &nbsp;&nbsp;&nbsp; Nucor Corp. 2.98%, 12/15/2055 | 4465 | 2784 |
| &nbsp;&nbsp;&nbsp; Steel Dynamics, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/15/2027 | 5270 | 4423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2050 | 3519 | 2286 |
| &nbsp;&nbsp;&nbsp; Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 27542 | 23996 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62691 |
| **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nordstrom, Inc. 4.38%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5832 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; CMS Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 3/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 4360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1159 |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017, 3.88%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1446 |
| &nbsp;&nbsp;&nbsp; Consumers Energy Co. 3.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1565 |
| &nbsp;&nbsp;&nbsp; Delmarva Power & Light Co. 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1183 |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series D, 2.85%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series F, 5.25%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.90%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1656 |
| &nbsp;&nbsp;&nbsp; New York State Electric & Gas Corp. 3.25%, 12/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2187 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6383 |
| &nbsp;&nbsp;&nbsp; PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 9710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7400 |
| &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | &nbsp;&nbsp; 15540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12113 |
| &nbsp;&nbsp;&nbsp; Puget Energy, Inc. 2.38%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5582 |
| &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FFF, 6.13%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 8/15/2051 | &nbsp;&nbsp; 17150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11930 |
| &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 3/15/2041 | &nbsp;&nbsp; 10518 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10463 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Multi-Utilities — continued** | **Multi-Utilities — continued** | **Multi-Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/1/2043 | 1392 | 1156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/1/2046 | 2136 | 1625 |
| &nbsp;&nbsp;&nbsp; WEC Energy Group, Inc. 3.55%, 6/15/2025 | 1651 | 1572 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 105889 |
| **Oil, Gas & Consumable Fuels — 2.0%** | **Oil, Gas & Consumable Fuels — 2.0%** | **Oil, Gas & Consumable Fuels — 2.0%** |
| &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | 18019 | 15864 |
| &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 3/23/2025 (b) | 2000 | 1931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 7/15/2027 (b) | 7325 | 6868 |
| &nbsp;&nbsp;&nbsp; BG Energy Capital plc (United Kingdom) 5.13%, 10/15/2041 (b) | 5781 | 5447 |
| &nbsp;&nbsp;&nbsp; Boardwalk Pipelines LP 4.45%, 7/15/2027 | 3425 | 3275 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.41%, 2/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.02%, 1/16/2027 | &nbsp;&nbsp; 10588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 6/4/2051 | &nbsp;&nbsp; 25080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17131 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6073 |
| &nbsp;&nbsp;&nbsp; Buckeye Partners LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/15/2043 | &nbsp;&nbsp; 11805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4500 |
| &nbsp;&nbsp;&nbsp; Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3667 |
| &nbsp;&nbsp;&nbsp; Chevron USA, Inc. 8.00%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1478 |
| &nbsp;&nbsp;&nbsp; DT Midstream, Inc. 4.30%, 4/15/2032 (b) | &nbsp;&nbsp; 17380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15595 |
| &nbsp;&nbsp;&nbsp; Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3111 |
| &nbsp;&nbsp;&nbsp; Ecopetrol SA (Colombia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 9/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 6/26/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5409 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5042 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 9/15/2029 | &nbsp;&nbsp; 14071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 7/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 5/15/2044 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5348 |
| &nbsp;&nbsp;&nbsp; Eni SpA (Italy) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series X-R, 4.00%, 9/12/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 10/1/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4507 |
| &nbsp;&nbsp;&nbsp; Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4324 |
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2940 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 2/15/2027 | 2705 | 2608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series J, 5.75%, 3/1/2035 | 2509 | 2455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.55%, 4/15/2038 | 455 | 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 2/1/2041 | 1259 | 1271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 2/15/2043 | 455 | 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 2/15/2045 | 1758 | 1605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 10/15/2054 | 1189 | 1019 |
| &nbsp;&nbsp;&nbsp; EQM Midstream Partners LP 5.50%, 7/15/2028 | 7500 | 6949 |
| &nbsp;&nbsp;&nbsp; EQT Corp. 3.90%, 10/1/2027 | 4517 | 4181 |
| &nbsp;&nbsp;&nbsp; Equinor ASA (Norway) 2.88%, 4/6/2025 | 5765 | 5544 |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/16/2039 | &nbsp;&nbsp;&nbsp; 14245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 8/16/2049 | &nbsp;&nbsp;&nbsp; 17965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13234 |
| &nbsp;&nbsp;&nbsp; Flex Intermediate Holdco LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 6/30/2031 (b) | &nbsp;&nbsp;&nbsp; 13075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.32%, 12/30/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6651 |
| &nbsp;&nbsp;&nbsp; Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | &nbsp;&nbsp;&nbsp; 16093 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12832 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 9/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp; 34443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp; 12470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11079 |
| &nbsp;&nbsp;&nbsp; HF Sinclair Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/1/2023 | &nbsp;&nbsp;&nbsp; 21813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2026 | &nbsp;&nbsp;&nbsp; 22175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22315 |
| &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc. 5.05%, 2/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5189 |
| &nbsp;&nbsp;&nbsp; Magellan Midstream Partners LP 3.20%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2232 |
| &nbsp;&nbsp;&nbsp; Marathon Petroleum Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 5/1/2025 | &nbsp;&nbsp;&nbsp; 13546 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 3/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 8270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8662 |
| &nbsp;&nbsp;&nbsp; MPLX LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 7/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6569 |
| &nbsp;&nbsp;&nbsp; NGPL PipeCo LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 8/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 7/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6778 |
| &nbsp;&nbsp;&nbsp; NOVA Gas Transmission Ltd. (Canada) 7.88%, 4/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5025 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1817 |
| &nbsp;&nbsp;&nbsp; Phillips 66 4.88%, 11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 620 |
| &nbsp;&nbsp;&nbsp; Phillips 66 Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 10/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 12/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/1/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2790 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co. 1.90%, 8/15/2030 | &nbsp;&nbsp;&nbsp; 18050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14423 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 6/1/2042 | 18910 | 15535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 6/15/2044 | 9300 | 7220 |
| &nbsp;&nbsp;&nbsp; Sabine Pass Liquefaction LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 3/1/2025 | 3765 | 3774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 3/15/2027 | 9360 | 9239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2030 | 19530 | 18453 |
| &nbsp;&nbsp;&nbsp; Saudi Arabian Oil Co. (Saudi Arabia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 11/24/2023 (b) | 1320 | 1267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/24/2025 (b) | 4660 | 4252 |
| &nbsp;&nbsp;&nbsp; Spectra Energy Partners LP 4.50%, 3/15/2045 | 1975 | 1652 |
| &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 12/1/2034 | &nbsp;&nbsp; 11584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 3677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3922 |
| &nbsp;&nbsp;&nbsp; Targa Resources Corp. 4.20%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4399 |
| &nbsp;&nbsp;&nbsp; Texas Eastern Transmission LP 3.50%, 1/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 908 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 825 |
| &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 6/29/2041 | &nbsp;&nbsp; 16000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 7/12/2049 | &nbsp;&nbsp; 12800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/29/2050 | &nbsp;&nbsp; 20230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14615 |
| &nbsp;&nbsp;&nbsp; TransCanada PipeLines Ltd. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 6345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 7750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6986 |
| &nbsp;&nbsp;&nbsp; Valero Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1225 |
| &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The) 2.60%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7962 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 632265 |
| **Personal Products — 0.0% ^** | **Personal Products — 0.0% ^** | **Personal Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8344 |
| **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** |
| &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/18/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3768 |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4672 |
| &nbsp;&nbsp;&nbsp; Merck & Co., Inc. 2.75%, 12/10/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4889 |
| &nbsp;&nbsp;&nbsp; Mylan, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 1/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 11/29/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4655 |
| &nbsp;&nbsp;&nbsp; Royalty Pharma plc 1.20%, 9/2/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3228 |
| &nbsp;&nbsp;&nbsp; Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | &nbsp;&nbsp; 26941 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25384 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/26/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 3/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Pharmaceuticals — continued** | **Pharmaceuticals — continued** | **Pharmaceuticals — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 7/9/2040 | 25815 | 19305 |
| &nbsp;&nbsp;&nbsp; Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | 4153 | 3892 |
| &nbsp;&nbsp;&nbsp; Viatris, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 6/22/2040 | 8499 | 5854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 6/22/2050 | 1732 | 1127 |
| &nbsp;&nbsp;&nbsp; Zoetis, Inc. 2.00%, 5/15/2030 | 12880 | 10612 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 112099 |
| **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** | **Real Estate Management & Development — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b) | 6562 | 6071 |
| **Road & Rail — 0.3%** | **Road & Rail — 0.3%** | **Road & Rail — 0.3%** |
| &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.29%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 9266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4414 |
| &nbsp;&nbsp;&nbsp; CSX Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1998 |
| &nbsp;&nbsp;&nbsp; ERAC USA Finance LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 10/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 3/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2944 |
| &nbsp;&nbsp;&nbsp; Kansas City Southern 4.70%, 5/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2209 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.59%, 5/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4290 |
| &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/10/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 4/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2383 |
| &nbsp;&nbsp;&nbsp; Triton Container International Ltd. (Bermuda) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 6/7/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/15/2032 | &nbsp;&nbsp; 12450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9678 |
| &nbsp;&nbsp;&nbsp; Union Pacific Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 8/15/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 9/15/2067 | &nbsp;&nbsp;&nbsp;&nbsp; 1962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1593 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81513 |
| **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** |
| &nbsp;&nbsp;&nbsp; Analog Devices, Inc. 2.95%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4273 |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 2/15/2031 (b) | &nbsp;&nbsp; 31809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25096 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/2035 (b) | 40051 | 29681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.19%, 11/15/2036 (b) | 5766 | 4199 |
| &nbsp;&nbsp;&nbsp; KLA Corp. 3.30%, 3/1/2050 | 7000 | 5244 |
| &nbsp;&nbsp;&nbsp; Marvell Technology, Inc. 2.95%, 4/15/2031 | 7790 | 6365 |
| &nbsp;&nbsp;&nbsp; Microchip Technology, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.67%, 9/1/2023 | 5925 | 5794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.97%, 2/15/2024 | 4701 | 4448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.98%, 9/1/2024 | 5058 | 4677 |
| &nbsp;&nbsp;&nbsp; NXP BV (China) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 5/11/2031 | 23775 | 18831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/11/2041 | 24465 | 17300 |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. 4.50%, 5/20/2052 | &nbsp;&nbsp; 10475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9296 |
| &nbsp;&nbsp;&nbsp; TSMC Arizona Corp. (Taiwan) 4.50%, 4/22/2052 | &nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11794 |
| &nbsp;&nbsp;&nbsp; TSMC Global Ltd. (Taiwan) 4.63%, 7/22/2032 (b) | &nbsp;&nbsp; 10386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10325 |
| &nbsp;&nbsp;&nbsp; Xilinx, Inc. 2.38%, 6/1/2030 | &nbsp;&nbsp; 15185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12917 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 170240 |
| **Software — 0.2%** | **Software — 0.2%** | **Software — 0.2%** |
| &nbsp;&nbsp;&nbsp; Microsoft Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.92%, 3/17/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 3/17/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1323 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2040 | &nbsp;&nbsp; 10434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 3/25/2041 | &nbsp;&nbsp; 19515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6556 |
| &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 9/15/2027 | &nbsp;&nbsp; 14890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 9380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7515 |
| &nbsp;&nbsp;&nbsp; VMware, Inc. 4.65%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8585 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66721 |
| **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc. 1.65%, 1/15/2031 | &nbsp;&nbsp; 12180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9449 |
| &nbsp;&nbsp;&nbsp; Lowe's Cos., Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4787 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4481 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24141 |
| **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** |
| &nbsp;&nbsp;&nbsp; Apple, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 8/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/9/2045 | &nbsp;&nbsp; 14187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 8/4/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/12/2047 | &nbsp;&nbsp; 13570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/13/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1376 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Technology Hardware, Storage & Peripherals — continued** | **Technology Hardware, Storage & Peripherals — continued** | **Technology Hardware, Storage & Peripherals — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 8/5/2051 | 16470 | 11386 |
| &nbsp;&nbsp;&nbsp; Dell International LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 6/15/2023 | 2016 | 2017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 6/15/2026 | 33603 | 34317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 10/1/2029 | 6000 | 5935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/2051 (b) | 668 | 431 |
| &nbsp;&nbsp;&nbsp; HP, Inc. 3.00%, 6/17/2027 | 11105 | 10192 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96936 |
| **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 7/11/2024 (b) | 11600 | 11267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 1/20/2026 (b) | &nbsp;&nbsp;&nbsp; 20500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | &nbsp;&nbsp;&nbsp; 11406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 12/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | &nbsp;&nbsp;&nbsp; 15245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11367 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b) | &nbsp;&nbsp;&nbsp; 19850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17222 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71813 |
| **Tobacco — 0.2%** | **Tobacco — 0.2%** | **Tobacco — 0.2%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 2.45%, 2/4/2032 | &nbsp;&nbsp;&nbsp; 27925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21171 |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 3/25/2028 | &nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 9875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 8/15/2047 | &nbsp;&nbsp;&nbsp; 18779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13625 |
| &nbsp;&nbsp;&nbsp; BAT International Finance plc (United Kingdom) 1.67%, 3/25/2026 | &nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9751 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70029 |
| **Trading Companies & Distributors — 0.4%** | **Trading Companies & Distributors — 0.4%** | **Trading Companies & Distributors — 0.4%** |
| &nbsp;&nbsp;&nbsp; Air Lease Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 6266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 7/1/2025 | &nbsp;&nbsp;&nbsp; 15102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 1/15/2026 | &nbsp;&nbsp;&nbsp; 24378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 8/15/2026 | &nbsp;&nbsp;&nbsp; 15645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 12/15/2027 | &nbsp;&nbsp;&nbsp; 12170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/1/2029 | &nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12708 |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/1/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024 (b) | &nbsp;&nbsp;&nbsp; 19502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 8/1/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7385 |
| &nbsp;&nbsp;&nbsp; BOC Aviation Ltd. (Singapore) 3.50%, 10/10/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7614 |
| &nbsp;&nbsp;&nbsp; WW Grainger, Inc. 4.60%, 6/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4061 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 141591 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Transportation Infrastructure — 0.0% ^** | **Transportation Infrastructure — 0.0% ^** | **Transportation Infrastructure — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.38%, 4/30/2025 (b) | 7000 | 6613 |
| **Water Utilities — 0.0% ^** | **Water Utilities — 0.0% ^** | **Water Utilities — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; American Water Capital Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 6/1/2029 | 5250 | 4814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.59%, 10/15/2037 | 3354 | 3716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/1/2046 | 2241 | 1801 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10331 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; America Movil SAB de CV (Mexico) 4.38%, 4/22/2049 | 8284 | 7088 |
| &nbsp;&nbsp;&nbsp; Rogers Communications, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 3/15/2032 (b) | 10000 | 8853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 3/15/2052 (b) | &nbsp;&nbsp; 12810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10427 |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp; 25095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2772 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/30/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 6/19/2049 | &nbsp;&nbsp; 16825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14346 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $8,563,742)<br>|  | &nbsp;&nbsp; 7312922 |
| **Mortgage-Backed Securities — 18.1%** | **Mortgage-Backed Securities — 18.1%** | **Mortgage-Backed Securities — 18.1%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785618, ARM, 3.88%, 7/1/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 789758, ARM, 4.47%, 9/1/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847621, ARM, 2.71%, 5/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 2.36%, 12/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 2.83%, 4/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782870, ARM, 3.56%, 9/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 2.37%, 1/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782980, ARM, 2.37%, 1/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G3591, ARM, 3.92%, 8/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0007, ARM, 4.02%, 12/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0025, ARM, 2.75%, 2/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848431, ARM, 4.19%, 2/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 2.54%, 3/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 3.50%, 3/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2618, ARM, 3.25%, 5/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1286, ARM, 3.25%, 5/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2415, ARM, 3.52%, 5/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848068, ARM, 3.23%, 6/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 3.35%, 6/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848365, ARM, 3.67%, 7/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1082, ARM, 3.79%, 7/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1H2623, ARM, 3.97%, 7/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 3.97%, 8/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 1N0206, ARM, 3.99%, 8/1/2036 (e) | 261 | 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7242, ARM, 3.57%, 9/1/2036 (e) | 459 | 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 4.03%, 9/1/2036 (e) | 147 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2539, ARM, 3.85%, 10/1/2036 (e) | 105 | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0249, ARM, 4.14%, 10/1/2036 (e) | 207 | 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 4.31%, 10/1/2036 (e) | 454 | 459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 4.44%, 10/1/2036 (e) | 183 | 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0046, ARM, 4.48%, 10/1/2036 (e) | 179 | 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1097, ARM, 4.57%, 10/1/2036 (e) | 185 | 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 1.89%, 11/1/2036 (e) | 213 | 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 2.39%, 11/1/2036 (e) | 95 | 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 3.74%, 11/1/2036 (e) | 152 | 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848115, ARM, 3.76%, 11/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 4.31%, 11/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 1.94%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1386, ARM, 2.55%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1634, ARM, 3.00%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1399, ARM, 3.24%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1419, ARM, 3.29%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1478, ARM, 2.16%, 1/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1511, ARM, 4.42%, 1/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 2.07%, 2/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1554, ARM, 2.33%, 2/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0353, ARM, 4.31%, 2/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7303, ARM, 3.93%, 3/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 4.02%, 3/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J0399, ARM, 2.16%, 4/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1564, ARM, 2.67%, 4/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0783, ARM, 2.56%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 3.49%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1621, ARM, 3.56%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1463, ARM, 3.80%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1193, ARM, 4.24%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1477, ARM, 4.71%, 5/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J0533, ARM, 4.12%, 7/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 4.00%, 11/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 2.61%, 4/1/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0789, ARM, 2.82%, 5/1/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848699, ARM, 3.47%, 7/1/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 15 Year Pool # G13603, 5.50%, 2/1/2024 | &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; 1 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91158, 6.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91417, 3.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91403, 3.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 741 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00245, 8.00%, 8/1/2024 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00376, 8.00%, 11/1/2024 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00414, 7.50%, 8/1/2025 | &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; 2 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # C00452, 7.00%, 4/1/2026 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00981, 8.50%, 7/1/2028 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02210, 7.00%, 12/1/2028 | 109 | 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C47315, 6.50%, 8/1/2029 | 478 | 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03029, 6.00%, 10/1/2029 | 40 | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A88871, 7.00%, 1/1/2031 | 146 | 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | 20 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | 28 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C75791, 5.50%, 1/1/2033 | 149 | 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | 164 | 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16107, 6.00%, 12/1/2033 | 81 | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01864, 5.00%, 1/1/2034 | 111 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A23139, 5.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A61572, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03369, 6.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A70350, 5.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05713, 6.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03777, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02427, 5.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A57681, 6.00%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02682, 7.00%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04949, 6.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03666, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04952, 7.50%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04077, 6.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05671, 5.50%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05190, 7.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03466, 5.50%, 3/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93383, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # V80351, 3.00%, 8/1/2043 | &nbsp;&nbsp; 14484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q52834, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Z40179, 4.00%, 7/1/2048 | &nbsp;&nbsp; 24491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q57995, 5.00%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61104, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q61107, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2238 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN1157, 1.80%, 11/1/2028 | &nbsp;&nbsp; 50852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20570, 7.00%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # B90491, 7.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80192, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80342, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 823 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # U80345, 3.50%, 5/1/2033 | 3105 | 2942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50523, 6.50%, 12/1/2035 | 89 | 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # H05030, 6.00%, 11/1/2036 | 56 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # L10291, 6.50%, 11/1/2036 | 775 | 803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51353, 6.50%, 11/1/2036 | 761 | 792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50595, 6.50%, 12/1/2036 | 1153 | 1214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51361, 6.50%, 12/1/2036 | 541 | 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | 1011 | 1042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50531, 6.50%, 1/1/2037 | 57 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P51251, 6.50%, 1/1/2037 | 48 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50536, 6.50%, 2/1/2037 | 66 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P50556, 6.50%, 6/1/2037 | 41 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 9118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 7013 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T65101, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90402, 3.50%, 11/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90673, 4.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91192, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91488, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99051, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp; 32752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp; 11087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11028 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 9057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8869 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2236, 4.00%, 6/1/2048 | &nbsp;&nbsp;&nbsp; 19378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2212, 4.00%, 9/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA0149, 4.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA2578, 3.50%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2008, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp; 13284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2282, 4.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QA7351, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB0704, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp; 10854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB1571, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp; 11274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB2879, 2.50%, 8/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB7670, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QB8840, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6459, 2.50%, 12/1/2051 | &nbsp;&nbsp;&nbsp; 32243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6702, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp; 47369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42180 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 2.80%, 9/1/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 3.97%, 3/1/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555732, ARM, 3.66%, 8/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 658481, ARM, 2.74%, 9/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 4.06%, 9/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 3.73%, 11/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 3.36%, 1/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 777132, ARM, 3.42%, 6/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782306, ARM, 4.17%, 7/1/2034 (e) | &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; 3 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 800422, ARM, 2.46%, 8/1/2034 (e) | 111 | 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790235, ARM, 3.86%, 8/1/2034 (e) | 52 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 3.90%, 9/1/2034 (e) | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 794792, ARM, 3.70%, 10/1/2034 (e) | 39 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 4.32%, 10/1/2034 (e) | 162 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 799912, ARM, 3.98%, 11/1/2034 (e) | 26 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781563, ARM, 4.12%, 11/1/2034 (e) | 25 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 809319, ARM, 1.88%, 1/1/2035 (e) | 54 | 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 4.11%, 1/1/2035 (e) | 573 | 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 3.79%, 2/1/2035 (e) | 19 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820602, ARM, 3.03%, 3/1/2035 (e) | 113 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 3.28%, 4/1/2035 (e) | 141 | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 3.04%, 5/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 3.16%, 5/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888605, ARM, 2.60%, 7/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 3.90%, 9/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 851432, ARM, 3.66%, 10/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745445, ARM, 3.25%, 1/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 3.61%, 1/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920340, ARM, 4.25%, 2/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920843, ARM, 3.95%, 3/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 868952, ARM, 3.10%, 5/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884066, ARM, 3.81%, 6/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872825, ARM, 4.09%, 6/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 892868, ARM, 4.02%, 7/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 3.71%, 8/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 4.02%, 8/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745784, ARM, 4.12%, 8/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920547, ARM, 3.10%, 9/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 898179, ARM, 3.67%, 9/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893580, ARM, 3.81%, 9/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886772, ARM, 3.98%, 9/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894452, ARM, 4.07%, 9/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894239, ARM, 4.18%, 10/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900191, ARM, 4.33%, 10/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900197, ARM, 4.33%, 10/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902818, ARM, 4.20%, 11/1/2036 (e) | &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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 902955, ARM, 4.05%, 12/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888184, ARM, 2.49%, 1/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 3.74%, 1/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 915645, ARM, 3.26%, 2/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 3.71%, 2/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888307, ARM, 2.23%, 4/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 3.57%, 7/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995919, ARM, 3.83%, 7/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 938346, ARM, 4.04%, 7/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945032, ARM, 4.62%, 8/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 946362, ARM, 4.01%, 9/1/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 946260, ARM, 4.16%, 9/1/2037 (e) | 35 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952835, ARM, 4.16%, 9/1/2037 (e) | 69 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0085, ARM, 3.49%, 11/1/2037 (e) | 347 | 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 4.03%, 11/1/2037 (e) | 174 | 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0179, ARM, 4.32%, 12/1/2037 (e) | 343 | 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966946, ARM, 2.28%, 1/1/2038 (e) | 136 | 133 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889634, 6.00%, 2/1/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0364, 5.00%, 5/1/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995381, 6.00%, 1/1/2024 | 33 | 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995425, 6.00%, 1/1/2024 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995456, 6.50%, 2/1/2024 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0081, 6.00%, 7/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0133, 5.00%, 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3386, 3.50%, 7/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1435 |
| &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; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888656, 6.50%, 4/1/2025 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0096, 5.50%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256311, 6.00%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256352, 6.50%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256803, 6.00%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256962, 6.00%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257007, 6.00%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257048, 6.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890222, 6.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0049, 6.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7761, 3.50%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1138, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6238, 4.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 7963 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7820 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 50966, 7.00%, 1/1/2024 | &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;&nbsp;&nbsp;&nbsp; Pool # 250066, 8.00%, 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;&nbsp;&nbsp;&nbsp; Pool # 250103, 8.50%, 7/1/2024 | &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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303031, 7.50%, 10/1/2024 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 308499, 8.50%, 5/1/2025 | &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;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 313687, 7.00%, 9/1/2027 | &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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 756024, 8.00%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &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;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252211, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 459097, 7.00%, 1/1/2029 | &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; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 679886, 6.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 649734, 7.00%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 682078, 5.50%, 11/1/2032 | 287 | 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | 91 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | 610 | 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 683351, 5.50%, 2/1/2033 | 7 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 357363, 5.50%, 3/1/2033 | 318 | 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | 41 | 42 |
| &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 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254693, 5.50%, 4/1/2033 | 221 | 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | 89 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720576, 5.00%, 6/1/2033 | 53 | 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995656, 7.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 720155, 5.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0917, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725027, 5.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755109, 5.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753174, 4.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 759424, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770405, 5.00%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 776708, 5.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC1317, 4.50%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888568, 5.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810663, 5.00%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995003, 7.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995156, 7.50%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 827776, 5.00%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745148, 5.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888417, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833629, 7.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745418, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888016, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888209, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870770, 6.50%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 976871, 6.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA1019, 6.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 888476, 7.50%, 5/1/2037 | 95 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928584, 6.50%, 8/1/2037 | 111 | 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 945870, 6.50%, 8/1/2037 | 190 | 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | 347 | 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 928670, 7.00%, 9/1/2037 | 200 | 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | 272 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888707, 7.50%, 10/1/2037 | 628 | 681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888892, 7.50%, 11/1/2037 | 199 | 223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0662, 5.50%, 1/1/2038 | 434 | 455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995505, 8.00%, 1/1/2038 | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929331, 6.00%, 4/1/2038 | 82 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 909236, 7.00%, 9/1/2038 | 307 | 335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 934591, 7.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2869, 6.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 991908, 7.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995504, 7.50%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0780, 7.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC2948, 5.00%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3740, 5.50%, 9/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC7296, 5.50%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD7790, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD9151, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2059, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9017, 3.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 9312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5891, 3.00%, 6/1/2043 | &nbsp;&nbsp; 12209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9860, 3.00%, 7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7527, 4.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7496, 3.50%, 5/1/2044 | &nbsp;&nbsp; 17791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AX9319, 3.50%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 6457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7380, 3.50%, 2/1/2045 | &nbsp;&nbsp; 10563 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6479, 3.50%, 1/1/2046 | &nbsp;&nbsp; 24469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1213, 4.00%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8301 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH7650, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp; 29973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8344, 4.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7248, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8349, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ5756, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7310, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8237, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ8264, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3524 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3375, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1007, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK1134, 4.00%, 2/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5084 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4912 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # BM3665, 4.00%, 3/1/2048 | 35931 | 34864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE8366, 4.50%, 7/1/2048 | 4479 | 4431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7982, 5.00%, 7/1/2048 | 4785 | 4905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN0271, 4.50%, 9/1/2048 | 1391 | 1379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN1315, 4.50%, 9/1/2048 | 1701 | 1680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN4733, 5.50%, 3/1/2049 | 246 | 254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8745, 4.50%, 4/1/2049 | 2515 | 2478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM1939, 4.50%, 5/1/2049 | 12587 | 12422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | 4191 | 4118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3713, 5.00%, 6/1/2049 | 2265 | 2276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2305, 4.00%, 7/1/2049 | 4936 | 4748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO5607, 3.50%, 9/1/2049 | 2938 | 2731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1405, 4.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO4392, 3.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP5299, 3.50%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5702, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp; 51784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5729, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3671, 4.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6079, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp; 48301 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK2746, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp; 20768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9823, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP9948, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp; 53685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ2143, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp; 14744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ1155, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp; 18652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7669, 2.50%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU0070, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp; 48836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1901, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp; 45959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp; 69651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0196, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp; 73228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2670, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp; 62969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2246, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp; 46537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU8924, 3.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp; 27763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7119, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7121, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7122, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7124, 4.50%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1669, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp; 32964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7111, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV7133, 4.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4642, 6.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp; 22397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22957 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535183, 8.00%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA3029, 4.00%, 1/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5105, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7403 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3594, 2.69%, 4/1/2023 (e) | 702 | 696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3876, 2.40%, 6/1/2023 (e) | 1995 | 1967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4716, 3.38%, 12/1/2023 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7654, 2.86%, 1/1/2025 | 6108 | 5881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7372, 3.05%, 1/1/2025 | 1740 | 1681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 470300, 3.64%, 1/1/2025 | 4440 | 4343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8846, 2.68%, 5/1/2025 | 5752 | 5490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9149, 2.63%, 6/1/2025 | 5920 | 5637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9548, 3.17%, 8/1/2025 | 6800 | 6551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4660, 3.77%, 12/1/2025 | 9759 | 9590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0767, 3.18%, 1/1/2026 | 7895 | 7590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1590, 2.40%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1413, 2.49%, 5/1/2026 | &nbsp;&nbsp;&nbsp; 20609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1497, 2.61%, 6/1/2026 | &nbsp;&nbsp;&nbsp; 11034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1243, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1247, 2.64%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468645, 4.54%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2367, 2.46%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468927, 4.77%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6448, 3.25%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7062, 3.44%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7117, 3.14%, 12/1/2026 | &nbsp;&nbsp;&nbsp; 18329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7262, 3.19%, 12/1/2026 | &nbsp;&nbsp;&nbsp; 15826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7011, 3.22%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FN0029, 4.63%, 12/1/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8008, 2.94%, 2/1/2027 | &nbsp;&nbsp;&nbsp; 11429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7515, 3.34%, 2/1/2027 | &nbsp;&nbsp;&nbsp; 16000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8280, 2.91%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8745, 2.81%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8803, 2.78%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9087, 3.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp; 16111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9170, 3.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9345, 3.25%, 7/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7048, 2.90%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM1469, 2.96%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7669, 2.83%, 12/1/2027 | &nbsp;&nbsp;&nbsp; 19587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8114, 3.00%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8048, 3.08%, 1/1/2028 | &nbsp;&nbsp;&nbsp; 43775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7943, 3.10%, 1/1/2028 | &nbsp;&nbsp;&nbsp; 14537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1600, 2.59%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9686, 3.52%, 6/1/2028 | &nbsp;&nbsp;&nbsp; 40550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9486, 3.57%, 6/1/2028 | &nbsp;&nbsp;&nbsp; 26476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2005, 2.73%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 387806, 3.55%, 8/1/2028 | &nbsp;&nbsp;&nbsp; 15289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 109782, 3.55%, 9/1/2028 | &nbsp;&nbsp;&nbsp; 42061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0919, 3.82%, 9/1/2028 | &nbsp;&nbsp;&nbsp; 18594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp; 42090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40921 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # BL0907, 3.88%, 12/1/2028 | 11997 | 11709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1435, 3.53%, 1/1/2029 | 23495 | 22516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4317, 2.27%, 9/1/2029 | 4610 | 4094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6846, 2.93%, 10/1/2029 | 13283 | 12248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | 41205 | 36838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8123, 2.92%, 2/1/2030 | 7620 | 6966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7785, 3.17%, 2/1/2030 | 5856 | 5434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | 13000 | 12424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8692, 3.03%, 4/1/2030 | 25000 | 22829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8544, 3.08%, 4/1/2030 | 14527 | 13391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8889, 2.92%, 5/1/2030 | 11320 | 10211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8151, 2.94%, 5/1/2030 | 12000 | 10895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9154, 3.64%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9020, 2.97%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9154, 3.18%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9293, 3.71%, 9/1/2030 | &nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9494, 1.46%, 12/1/2030 | &nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0979, 4.05%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AH9683, 5.00%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2035, 1.84%, 6/1/2031 | &nbsp;&nbsp; 33900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1829, 2.90%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2422, 1.67%, 7/1/2031 | &nbsp;&nbsp; 36050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4310, 2.35%, 10/1/2031 | &nbsp;&nbsp; 11309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2625, 2.50%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2513, 2.63%, 10/1/2031 | &nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4338, 1.82%, 1/1/2032 | &nbsp;&nbsp; 26665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.75%, 3/1/2032 (e) | 103231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5789, 2.40%, 3/1/2032 | &nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5130, 2.55%, 4/1/2032 | &nbsp;&nbsp; 48505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5069, 2.73%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5065, 3.34%, 4/1/2032 | &nbsp;&nbsp; 26680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5330, 2.85%, 5/1/2032 | &nbsp;&nbsp; 14317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5298, 3.07%, 5/1/2032 | &nbsp;&nbsp; 36743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5907, 3.54%, 6/1/2032 | &nbsp;&nbsp; 10756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6033, 3.97%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6193, 4.12%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6194, 4.13%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6301, 3.67%, 8/1/2032 | &nbsp;&nbsp; 19145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6258, 3.70%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6288, 3.89%, 8/1/2032 | &nbsp;&nbsp; 11499 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6597, 3.67%, 9/1/2032 | &nbsp;&nbsp; 13781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6305, 3.68%, 9/1/2032 | &nbsp;&nbsp; 54320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6316, 3.76%, 9/1/2032 | &nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6440, 3.78%, 9/1/2032 | &nbsp;&nbsp; 10642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp; 65061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6381, 3.89%, 9/1/2032 | &nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6159, 3.92%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5770 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # BS6845, 4.22%, 10/1/2032 | 43000 | 42379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6915, 4.60%, 10/1/2032 | 36000 | 36573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6840, 4.18%, 11/1/2032 | 8255 | 8110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6841, 4.18%, 11/1/2032 | 11615 | 11412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6995, 4.18%, 11/1/2032 | 19825 | 19479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6868, 4.61%, 11/1/2032 | 7463 | 7590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6969, 4.76%, 11/1/2032 | 13935 | 14345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ7084, 3.50%, 12/1/2032 | 1438 | 1365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7083, 4.59%, 12/1/2032 (f) | 33890 | 33911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7019, IO, 4.60%, 12/1/2032 (f) | 33255 | 33463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7320, IO, 4.88%, 12/1/2032 (f) | 14287 | 14673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 650236, 5.00%, 12/1/2032 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7303, IO, 5.34%, 12/1/2032 (f) | &nbsp;&nbsp;&nbsp; 10906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7147, 4.95%, 1/1/2033 | &nbsp;&nbsp;&nbsp; 10746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR7484, 3.50%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT7117, 3.50%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6000, 3.21%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9695, 3.67%, 7/1/2033 | &nbsp;&nbsp;&nbsp; 32550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9950, 3.89%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2642, 1.85%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3169, 1.82%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3315, 1.82%, 11/1/2033 | &nbsp;&nbsp;&nbsp; 10924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4824, 2.50%, 2/1/2034 | &nbsp;&nbsp;&nbsp; 60280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810997, 5.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7122, 3.61%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL5976, 2.49%, 4/1/2035 | &nbsp;&nbsp;&nbsp; 22962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8474, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8475, 3.45%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6315, 2.20%, 5/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp; 23000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9532, 3.63%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3482 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5413, 3.41%, 12/1/2035 | &nbsp;&nbsp;&nbsp; 10250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0375, 3.76%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256051, 5.50%, 12/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256128, 6.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 880219, 7.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &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; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920934, 6.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888373, 7.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888412, 7.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5648, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp; 10561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5650, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp; 14180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5761, 3.87%, 6/1/2037 | &nbsp;&nbsp;&nbsp; 10964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995783, 8.00%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257209, 5.50%, 5/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0127, 5.50%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2606, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # AO7225, 4.00%, 7/1/2042 | 1410 | 1362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | 1793 | 1732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9353, 4.00%, 7/1/2042 | 1968 | 1896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | 1369 | 1323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1178, 4.00%, 9/1/2042 | 7765 | 7503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1213, 3.50%, 10/1/2042 | 3386 | 3187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1251, 3.50%, 11/1/2042 | 9044 | 8513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1253, 4.00%, 11/1/2042 | 6537 | 6301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | 6424 | 5787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1328, 3.50%, 1/1/2043 | 1244 | 1170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9999, 3.00%, 2/1/2043 | 3440 | 3099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1373, 3.50%, 3/1/2043 | 2066 | 1945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1404, 3.50%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9096, 4.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9196, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4051, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1437, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 7015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5914, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1463, 3.50%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9704, 4.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1711, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 9603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1759, 4.00%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1760, 4.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AV9286, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1800, 4.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1828, 4.50%, 3/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 7558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2429, 4.00%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2565, 4.00%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5835, 3.00%, 9/1/2047 | &nbsp;&nbsp; 11704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0523, 6.00%, 11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0131, 3.50%, 8/1/2056 | &nbsp;&nbsp; 43671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0230, 5.50%, 1/1/2058 | &nbsp;&nbsp; 44489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0341, 5.50%, 1/1/2059 | &nbsp;&nbsp; 19167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7076, 4.00%, 4/1/2059 | &nbsp;&nbsp; 50607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp; 55251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0546, 2.50%, 7/1/2061 | &nbsp;&nbsp; 82556 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0562, 3.50%, 9/1/2061 | &nbsp;&nbsp; 64106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0590, 2.50%, 12/1/2061 | &nbsp;&nbsp; 19004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0579, 3.00%, 12/1/2061 | &nbsp;&nbsp; 23092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp; 33576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0586, 5.00%, 12/1/2061 | &nbsp;&nbsp; 15830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15758 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &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;&nbsp;&nbsp; Pool # 363030, 7.00%, 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;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 352022, 7.00%, 11/15/2023 | &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;&nbsp;&nbsp; Pool # 366706, 6.50%, 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 371281, 7.00%, 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;&nbsp;&nbsp;&nbsp; 1 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # 780965, 9.50%, 12/15/2025 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 442119, 7.50%, 11/15/2026 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 411829, 7.50%, 7/15/2027 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 554108, 6.50%, 3/15/2028 | 26 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468149, 8.00%, 8/15/2028 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468236, 6.50%, 9/15/2028 | 69 | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 466406, 6.00%, 11/15/2028 | 15 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781328, 7.00%, 9/15/2031 | 318 | 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 569568, 6.50%, 1/15/2032 | 276 | 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | 16 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607724, 7.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783123, 5.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604209, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 614546, 5.50%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781689, 5.50%, 12/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 632415, 5.50%, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 574710, 5.50%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782615, 7.00%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782025, 6.50%, 12/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 617486, 7.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782212, 7.50%, 10/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI6868, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1726, 5.00%, 3/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1894, 4.50%, 7/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7657 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5521, ARM, 5.83%, 8/20/2071 (e) | &nbsp;&nbsp; 12536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5523, ARM, 5.96%, 8/20/2071 (e) | &nbsp;&nbsp; 19121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE9356, ARM, 5.70%, 9/20/2071 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5537, ARM, 5.81%, 9/20/2071 (e) | &nbsp;&nbsp; 33388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5533, ARM, 5.87%, 9/20/2071 (e) | &nbsp;&nbsp; 37156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5536, ARM, 5.91%, 9/20/2071 (e) | &nbsp;&nbsp; 32107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5544, ARM, 5.79%, 10/20/2071 (e) | &nbsp;&nbsp; 35900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5550, ARM, 5.82%, 10/20/2071 (e) | &nbsp;&nbsp; 17932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5552, ARM, 5.81%, 11/20/2071 (e) | &nbsp;&nbsp; 35164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2783, ARM, 5.79%, 2/20/2072 (e) | &nbsp;&nbsp; 85551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2789, ARM, 5.82%, 2/20/2072 (e) | &nbsp;&nbsp; 33784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0227, ARM, 5.85%, 2/20/2072 (e) | &nbsp;&nbsp; 29678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0228, ARM, 6.12%, 2/20/2072 (e) | &nbsp;&nbsp; 21542 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8129, ARM, 5.75%, 3/20/2072 (e) | &nbsp;&nbsp; 19862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2802, ARM, 5.76%, 3/20/2072 (e) | &nbsp;&nbsp; 26012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2800, ARM, 5.80%, 3/20/2072 (e) | &nbsp;&nbsp; 23377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2791, ARM, 5.81%, 3/20/2072 (e) | &nbsp;&nbsp; 40296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2794, ARM, 5.81%, 3/20/2072 (e) | &nbsp;&nbsp; 44096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2793, ARM, 5.83%, 3/20/2072 (e) | &nbsp;&nbsp; 40408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41784 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # CM9946, ARM, 5.83%, 3/20/2072 (e) | 17925 | 18502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM0234, ARM, 5.84%, 3/20/2072 (e) | 31599 | 32632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2803, ARM, 5.75%, 4/20/2072 (e) | 41796 | 43089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8377, ARM, 5.84%, 4/20/2072 (e) | 36378 | 37648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN0126, ARM, 5.86%, 5/20/2072 (e) | 35132 | 36309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN7634, ARM, 5.88%, 6/20/2072 (e) | 25651 | 26635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786250, ARM, 6.03%, 6/20/2072 (e) | 38991 | 40875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL8191, ARM, 5.99%, 7/20/2072 (e) | 20211 | 21112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO0363, ARM, 5.99%, 7/20/2072 (e) | 29385 | 30770 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1974, 8.50%, 3/20/2025 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1989, 8.50%, 4/20/2025 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2006, 8.50%, 5/20/2025 | &nbsp;&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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2141, 8.00%, 12/20/2025 | &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; 1 |
| &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; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &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; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&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; 4 |
| &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; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &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; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &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; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2562, 6.00%, 3/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2633, 8.00%, 8/20/2028 | &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;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2647, 8.00%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2781, 6.50%, 7/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783389, 6.00%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783444, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783967, 4.25%, 12/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8791, 3.75%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0481, 4.00%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0484, 4.50%, 12/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6586 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0207, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE0208, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BE5169, 4.50%, 2/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA7567, 4.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG6360, 5.00%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF2574, 5.50%, 5/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0728, 5.00%, 7/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD0551, 4.50%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5288, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 9574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI5289, 5.00%, 8/20/2048 | &nbsp;&nbsp;&nbsp; 14791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AY2411, 4.25%, 9/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784598, 5.00%, 9/20/2048 | &nbsp;&nbsp;&nbsp; 10827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784626, 4.50%, 10/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1339 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # BK2586, 5.00%, 11/20/2048 | 1888 | 1923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7082, 5.00%, 12/20/2048 | 519 | 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ7085, 5.00%, 12/20/2048 | 1145 | 1178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7169, 5.00%, 12/20/2048 | 7915 | 8033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8878, 4.50%, 2/20/2049 | 2549 | 2516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7189, 5.00%, 2/20/2049 | 7104 | 7238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9972, 5.50%, 2/20/2049 | 1365 | 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7198, 4.50%, 3/20/2049 | 2956 | 2900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7199, 5.00%, 3/20/2049 | 1684 | 1721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL8042, 5.00%, 3/20/2049 | 6644 | 6808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9333, 5.00%, 3/20/2049 | 2891 | 2983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BG0079, 5.50%, 3/20/2049 | 837 | 855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6756, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1322, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ9622, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK7209, 5.00%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL6758, 5.50%, 4/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9664, 4.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9683, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp; 16329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2880, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN3950, 5.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2629, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp; 12890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0926, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0927, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2186, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2187, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2871, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2872, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2878, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO2879, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 664 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3162, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp; 48382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3173, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3174, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO3175, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8226, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8229, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8235, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8236, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4243, 5.00%, 8/20/2049 | &nbsp;&nbsp;&nbsp; 12292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN2649, 3.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9713, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP4337, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp; 15965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3224, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp; 14012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784810, 5.00%, 9/20/2049 | &nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9734, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 4222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784847, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp; 22603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8694, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ8696, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 925 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # BR2686, 4.50%, 11/20/2049 | 2490 | 2457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2687, 4.50%, 11/20/2049 | 4633 | 4601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2688, 4.50%, 11/20/2049 | 2842 | 2814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2689, 4.50%, 11/20/2049 | 3608 | 3626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2739, 4.50%, 11/20/2049 | 1629 | 1646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2756, 4.50%, 11/20/2049 | 2147 | 2145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2757, 4.50%, 11/20/2049 | 2394 | 2386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3820, 4.50%, 11/20/2049 | 355 | 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3821, 4.50%, 11/20/2049 | 947 | 931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0953, 4.50%, 11/20/2049 | 1760 | 1778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4131, 3.50%, 12/20/2049 | 13511 | 12753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0940, 4.50%, 12/20/2049 | 632 | 624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3796, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2730, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2731, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2732, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR2755, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3822, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3823, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3824, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0951, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1894 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS0952, 4.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4132, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4133, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR1548, 3.50%, 1/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8380, 4.50%, 2/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP8085, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BR3892, 4.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp; 11300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8094, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8095, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5956 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8096, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8097, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8098, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp; 10210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BT8099, 4.00%, 4/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW7042, 3.50%, 9/20/2050 | &nbsp;&nbsp;&nbsp; 21568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp; 61227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7534, 2.50%, 8/20/2051 | 266990 | &nbsp;&nbsp;&nbsp;&nbsp; 235362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7649, 2.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp; 38936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH9031, 3.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp; 22761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CI9257, 3.50%, 11/20/2051 | &nbsp;&nbsp;&nbsp; 27104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1527, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK1600, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp; 17576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7137, 4.00%, 1/20/2052 | &nbsp;&nbsp;&nbsp; 30038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2553, 4.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp; 19966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2213, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2574, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp; 12781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CL2575, 4.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM1194, 4.00%, 4/20/2052 | &nbsp;&nbsp;&nbsp; 15104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14425 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 # MA8200, 4.00%, 8/20/2052 | 163970 | 156596 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0858, 3.75%, 9/20/2038 | 552 | 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4285, 6.00%, 11/20/2038 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0862, 3.75%, 1/20/2039 | 1089 | 1037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784879, 4.13%, 11/20/2069 (e) | 14150 | 13564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785137, 3.09%, 8/20/2070 (e) | 17839 | 16115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785183, 2.94%, 10/20/2070 (e) | 35487 | 31965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785863, 3.09%, 12/20/2071 (e) | 12287 | 11045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $6,209,358)<br>|  | &nbsp;&nbsp; 5785687 |
| **Asset-Backed Securities — 13.7%** | **Asset-Backed Securities — 13.7%** | **Asset-Backed Securities — 13.7%** |
| &nbsp;&nbsp;&nbsp; Academic Loan Funding Trust Series 2013-1A, Class A, 4.82%, 12/26/2044 (b) (e) | 1628 | 1564 |
| &nbsp;&nbsp;&nbsp; ACC Series 2019-AA, 0.25%, 9/15/2022 ‡ | &nbsp;&nbsp;&nbsp; 58783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58489 |
| &nbsp;&nbsp;&nbsp; Accelerated Assets LLC Series 2018-1, Class A, 3.87%, 12/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5718 |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1, Class A, 3.60%, 3/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5307 |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, 3.70%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, 4.00%, 9/22/2027 | &nbsp;&nbsp;&nbsp; 10555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class A, 3.65%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3, Class AA, 3.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2, Class A, 3.60%, 10/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 3.95%, 7/11/2030 | &nbsp;&nbsp;&nbsp; 12081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9862 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class C, 3.88%, 4/13/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 7.86%, 2/15/2029 (b) | &nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14161 |
| &nbsp;&nbsp;&nbsp; American Homes 4 Rent Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) | &nbsp;&nbsp;&nbsp; 10718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class B, 4.29%, 10/17/2036 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp; 16970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) | &nbsp;&nbsp;&nbsp; 15680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR2, Class E, 6.07%, 10/17/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp; American Tower Trust #1, 3.07%, 3/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6166 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (b) | &nbsp;&nbsp;&nbsp; 40100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class D, 3.28%, 7/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 15495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 12912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8558 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class D, 2.01%, 11/17/2037 ‡ (b) | 20000 | 17657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class E1, 2.21%, 11/17/2037 ‡ (b) | 19000 | 16735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.47%, 1/19/2039 ‡ (b) | 7800 | 6768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 4.39%, 3/17/2039 ‡ (b) | 28018 | 24648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 4.00%, 10/17/2039 ‡ (b) | 22000 | 19152 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class A, 3.72%, 11/15/2035 (b) | 2935 | 2887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class A, 3.14%, 7/16/2040 (b) | 4502 | 4233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class B, 2.79%, 7/17/2046 ‡ (b) | 2750 | 2421 |
| &nbsp;&nbsp;&nbsp; Arm Master Trust LLC Agricultural Loan Backed Notes Series 2021-T1, Class A, 2.43%, 11/15/2027 (b) | 31250 | 28698 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | 24040 | 22025 |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2022-SFR1, 4.45%, 11/17/2037 (b) | 17966 | 15835 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | &nbsp;&nbsp; 10490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7356 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | &nbsp;&nbsp; 12967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | &nbsp;&nbsp; 27304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.46%, 6/15/2037 (b) | &nbsp;&nbsp; 75258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68630 |
| &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 ‡ | &nbsp;&nbsp; 37958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-SFR1, Class A, 5.25%, 6/5/2028 ‡ (b) | &nbsp;&nbsp; 41036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40700 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | &nbsp;&nbsp; 12242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10781 |
| &nbsp;&nbsp;&nbsp; CARS-DB4 LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A5, 3.48%, 2/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A6, 3.81%, 2/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5956 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4937 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust Series 2019-4A, Class C, 2.72%, 1/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3304 |
| &nbsp;&nbsp;&nbsp; CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (b) | &nbsp;&nbsp; 73400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70097 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class 1A5, 4.89%, 5/25/2033 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A5, 4.88%, 11/25/2034 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-6, Class 1A7, 4.88%, 11/25/2034 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1232 |
| &nbsp;&nbsp;&nbsp; CIG Auto Receivables Trust Series 2019-1A, Class C, 3.82%, 8/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1162 |
| &nbsp;&nbsp;&nbsp; Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1047 |
| &nbsp;&nbsp;&nbsp; CN MEZZ P FRN Series 2022-SFR1, 3.95%, 4/15/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6094 |
| &nbsp;&nbsp;&nbsp; Consumer Receivables Asset Investment Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1X, 7.99%, 3/24/2023 (b) (e) | &nbsp;&nbsp; 29136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1Y, 7.99%, 3/24/2023 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6793 |
| &nbsp;&nbsp;&nbsp; Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (b) | &nbsp;&nbsp; 60885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58222 |
| &nbsp;&nbsp;&nbsp; COOF Securitization Trust Ltd. Series 2014-1, Class A, 2.90%, 6/25/2040 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.42%, 6/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class C, 3.68%, 6/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | &nbsp;&nbsp; 21844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20463 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | &nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10088 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 2.59%, 6/15/2029 (b) | &nbsp;&nbsp; 25115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24685 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 2.28%, 2/15/2030 (b) | 12000 | 11203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 5.70%, 10/15/2032 (b) | 43105 | 41457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 9.00%, 4/18/2033 (b) | 50000 | 48564 |
| &nbsp;&nbsp;&nbsp; Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (b) | 5509 | 5367 |
| &nbsp;&nbsp;&nbsp; Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (b) | 1011 | 1002 |
| &nbsp;&nbsp;&nbsp; Crown Castle Towers LLC, 4.24%, 7/15/2028 (b) | 10000 | 9084 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 4.79%, 3/25/2034 ‡ (e) | 51 | 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M2, 4.87%, 3/25/2034 ‡ (e) | 42 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 3A, 4.60%, 4/25/2034 ‡ (e) | 220 | 194 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.94%, 10/25/2034 (e) | 68 | 66 |
| &nbsp;&nbsp;&nbsp; Diversified Abs Phase LLC Series VI, Class A, 7.50%, 11/28/2039 ‡ | 49746 | 48438 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust Series 2019-4, Class D, 2.70%, 2/16/2027 | &nbsp;&nbsp;&nbsp; 11603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11392 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D, 3.87%, 11/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 1.47%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.69%, 7/17/2028 (b) | &nbsp;&nbsp;&nbsp; 15250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15287 |
| &nbsp;&nbsp;&nbsp; Elara HGV Timeshare Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class B, 2.96%, 3/25/2030 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class C, 3.31%, 3/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1152 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D, 4.13%, 12/16/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class D, 3.11%, 8/15/2025 (b) | &nbsp;&nbsp;&nbsp; 13582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class D, 2.73%, 12/15/2025 (b) | &nbsp;&nbsp;&nbsp; 22035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5A, Class C, 6.51%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.76%, 9/15/2028 | &nbsp;&nbsp;&nbsp; 39700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5A, Class D, 7.40%, 2/15/2029 | &nbsp;&nbsp;&nbsp; 12600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6A, Class D, 8.03%, 4/6/2029 (f) | &nbsp;&nbsp;&nbsp; 13806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13802 |
| &nbsp;&nbsp;&nbsp; FHF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.27%, 3/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6901 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 6.14%, 12/15/2027 (b) | &nbsp;&nbsp;&nbsp; 41794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41339 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class D, 3.50%, 7/17/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class D, 2.24%, 8/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class E, 2.79%, 8/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 11250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | &nbsp;&nbsp;&nbsp; 57000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 14400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, 5/17/2039 (b) | &nbsp;&nbsp;&nbsp; 36486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 ‡ (b) | &nbsp;&nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42026 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2022-4, Class D, 8.86%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp; 11330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11466 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 2/25/2024 (b) (e) | 116200 | &nbsp;&nbsp;&nbsp;&nbsp; 111145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 56650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 43050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 51910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b) | &nbsp;&nbsp;&nbsp; 65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT2, Class A, 7.90%, 7/25/2027 (b) | &nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36504 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 86272 | 81070 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 3.86%, 11/15/2034 (b) | 5893 | 5761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 5.66%, 11/15/2034 ‡ (b) | 18930 | 18132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 3.54%, 7/16/2040 (b) | 21553 | 20619 |
| &nbsp;&nbsp;&nbsp; Foursight Capital Automobile Receivables Trust Series 2021-1, Class D, 1.32%, 3/15/2027 (b) | 900 | 838 |
| &nbsp;&nbsp;&nbsp; FREED ABS Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3FP, Class A, 4.50%, 8/20/2029 (b) | 3488 | 3468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3FP, Class C, 7.05%, 8/20/2029 ‡ (b) | 8000 | 7828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4FP, Class B, 7.58%, 12/18/2029 (b) | 24000 | 23974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4FP, Class C, 8.59%, 12/18/2029 (b) | 14500 | 14567 |
| &nbsp;&nbsp;&nbsp; Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (e) | 41328 | 40555 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 5.30%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp; 15905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.15%, 4/17/2028 (b) | &nbsp;&nbsp;&nbsp; 19357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18563 |
| &nbsp;&nbsp;&nbsp; Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp; Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (b) | &nbsp;&nbsp;&nbsp; 21358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18383 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A, 3.23%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class A, 3.26%, 10/15/2053 (b) | &nbsp;&nbsp;&nbsp; 12779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11480 |
| &nbsp;&nbsp;&nbsp; Harvest SBA Loan Trust Series 2021-1, Class A, 5.36%, 4/25/2048 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5604 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, 4.67%, 9/20/2048 (b) | &nbsp;&nbsp;&nbsp; 11416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10838 |
| &nbsp;&nbsp;&nbsp; HERO Funding II (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/21/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 4137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4B, Class B, 4.99%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1095 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A1, 3.57%, 9/20/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-4A, Class A2, 4.29%, 9/20/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6911 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.74%, 2/25/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7288 |
| &nbsp;&nbsp;&nbsp; HINNT LLC Series 2022-A, Class C, 5.58%, 5/15/2041 ‡ (b) | &nbsp;&nbsp;&nbsp; 14478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14127 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E1, 2.85%, 12/17/2026 ‡ (b) | &nbsp;&nbsp;&nbsp; 39826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class E2, 2.95%, 12/17/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class D, 3.00%, 1/17/2041 ‡ (b) | &nbsp;&nbsp;&nbsp; 42196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34976 |
| &nbsp;&nbsp;&nbsp; INVH Series 2021-SFR1, 2.50%, 1/25/2024 ‡ | &nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34125 |
| &nbsp;&nbsp;&nbsp; JetBlue Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class B, 8.00%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class B, 7.75%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4600 |
| &nbsp;&nbsp;&nbsp; Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 (b) | &nbsp;&nbsp;&nbsp; 37455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37193 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &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 ‡ (b) (e) | 251 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, IO, 1.53%, 10/25/2032 ‡ (b) (e) | 9143 | 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-4, Class A, IO, 0.95%, 9/25/2037 ‡ (b) (e) | 17885 | 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2, Class A, IO, 0.81%, 8/25/2038 ‡ (b) (e) | 10128 | 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class A, IO, 1.75%, 3/25/2039 ‡ (b) (e) | 9799 | 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-6, Class A, IO, 0.56%, 5/25/2039 ‡ (b) (e) | 9141 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, IO, 2.97%, 4/25/2040 ‡ (b) (e) | 2759 | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 3.03%, 7/25/2041 ‡ (b) (e) | 2407 | 248 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.11%, 2/15/2029 (b) | 9461 | 9324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class C, 8.68%, 2/15/2030 ‡ (b) | 5400 | 5380 |
| &nbsp;&nbsp;&nbsp; LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 ‡ (b) | &nbsp;&nbsp;&nbsp; 32938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31953 |
| &nbsp;&nbsp;&nbsp; Lendingpoint SPE Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VFN1, Class A1B, 8.13%, 12/15/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 17940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VFN1, Class A2B1, 8.13%, 12/15/2026 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6259 |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.78%, 4/20/2028 (b) | &nbsp;&nbsp;&nbsp; 15958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class B, 3.22%, 4/20/2028 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 3.09%, 4/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 8.16%, 7/20/2032 ‡ (b) | &nbsp;&nbsp;&nbsp; 27660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26478 |
| &nbsp;&nbsp;&nbsp; LFT CRE Ltd. Series 2021-FL1, Class C, 5.83%, 6/15/2039 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 29810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28559 |
| &nbsp;&nbsp;&nbsp; LMREC LLC Series 2021-CRE4, Class A, 5.09%, 4/22/2037 (b) (e) | &nbsp;&nbsp;&nbsp; 17348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16947 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class M1, 4.79%, 2/25/2034 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class M1, 4.90%, 7/25/2034 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; LP LMS Asset Securitization Trust, 3.23%, 10/15/2028 | &nbsp;&nbsp;&nbsp; 19205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18936 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-AA, Class A, 2.96%, 7/20/2032 (b) | &nbsp;&nbsp;&nbsp; 23776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 3.42%, 11/20/2036 ‡ (b) | &nbsp;&nbsp;&nbsp; 11935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AA, Class B, 7.20%, 10/20/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 17850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17818 |
| &nbsp;&nbsp;&nbsp; Marlette Funding Trust Series 2022-2A, Class B, 5.50%, 8/15/2032 ‡ (b) | &nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13154 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | &nbsp;&nbsp;&nbsp; 38420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.33%, 3/20/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8067 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3541 |
| &nbsp;&nbsp;&nbsp; MVW Owner Trust Series 2019-1A, Class A, 2.89%, 11/20/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5215 |
| &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; 828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 772 |
| &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 (b) | &nbsp;&nbsp;&nbsp; 23866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (b) | &nbsp;&nbsp;&nbsp; 36044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | &nbsp;&nbsp;&nbsp; 49000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43149 |
| &nbsp;&nbsp;&nbsp; Octane Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 5.21%, 8/21/2028 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4908 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 5.54%, 2/20/2029 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4009 |
| &nbsp;&nbsp;&nbsp; OL SP LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018, Class A, 4.16%, 2/9/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018, Class B, 4.61%, 2/9/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b) | 36115 | 35101 |
| &nbsp;&nbsp;&nbsp; Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (b) | 20285 | 18601 |
| &nbsp;&nbsp;&nbsp; Oportun Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A, 5.94%, 10/9/2029 (b) | 43054 | 42646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.47%, 5/8/2031 (b) | 38800 | 33742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 5.05%, 6/9/2031 (b) | 26300 | 25303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 5.25%, 6/9/2031 ‡ (b) | 13299 | 12056 |
| &nbsp;&nbsp;&nbsp; Orange Lake Timeshare Trust Series 2019-A, Class B, 3.36%, 4/9/2038 ‡ (b) | 4841 | 4550 |
| &nbsp;&nbsp;&nbsp; Pendoor Proper0.00%, 2/15/2026 ‡ (b) | 68650 | 65389 |
| &nbsp;&nbsp;&nbsp; PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 7.80%, 5/25/2027 (b) (e) | 60745 | 57114 |
| &nbsp;&nbsp;&nbsp; Prestige Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 6.55%, 7/17/2028 (b) | 8700 | 8680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5811 |
| &nbsp;&nbsp;&nbsp; PRET LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (b) (d) | &nbsp;&nbsp; 22530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (e) | &nbsp;&nbsp; 37764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33141 |
| &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 ‡ (b) (d) | &nbsp;&nbsp; 44768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (b) (d) | &nbsp;&nbsp; 25451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22833 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFRMEZZ6.38%, 10/16/2025 ‡ | &nbsp;&nbsp; 45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 | &nbsp;&nbsp; 55300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (b) | &nbsp;&nbsp; 27421 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 ‡ (b) | &nbsp;&nbsp; 16700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (b) | &nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR11, Class D, 3.13%, 1/17/2039 ‡ (b) | &nbsp;&nbsp; 11560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR11, Class E1, 3.38%, 1/17/2039 ‡ (b) | &nbsp;&nbsp; 23735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E1, 5.20%, 4/17/2039 (b) | &nbsp;&nbsp; 50390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 3.46%, 2/17/2041 ‡ (b) | &nbsp;&nbsp; 14649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class D, 3.65%, 2/17/2041 ‡ (b) | &nbsp;&nbsp; 21816 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17870 |
| &nbsp;&nbsp;&nbsp; Purewest Funding II LLC Series 2022-1, Class A1, 5.81%, 12/5/2037 (b) | &nbsp;&nbsp; 47061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45804 |
| &nbsp;&nbsp;&nbsp; ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 6.50%, 12/27/2044 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9483 |
| &nbsp;&nbsp;&nbsp; Regional Management Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class A, 2.34%, 10/15/2030 (b) | &nbsp;&nbsp; 16100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2B, Class B, 8.51%, 11/17/2032 ‡ (b) | &nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12148 |
| &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;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3125 |
| &nbsp;&nbsp;&nbsp; Repo Buyer Series 2019-PC, 6.85%, 8/15/2024 ‡ (e) | &nbsp;&nbsp; 20502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19502 |
| &nbsp;&nbsp;&nbsp; RFLF 1 Issuer LLC Series 2018-1A, Class A, 5.25%, 6/12/2022 (b) | &nbsp;&nbsp; 39792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39637 |
| &nbsp;&nbsp;&nbsp; RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 7491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7324 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust Series 7, Class C, 6.69%, 3/17/2031 | &nbsp;&nbsp; 13325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13427 |
| &nbsp;&nbsp;&nbsp; SART |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1-RR A3.25%, 10/15/2024 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2A2.75%, 4/15/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 32.50%, 7/15/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3589 |
| &nbsp;&nbsp;&nbsp; SART CRR (Italy) Series 4A, 2.51%, 10/15/2024 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3650 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 3.79%, 11/20/2031 ‡ (b) | 10690 | 9249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 6.50%, 2/20/2032 (b) | 15677 | 15633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 6.50%, 10/20/2032 (b) | 19930 | 18217 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (d) | 384 | 295 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 3.51%, 7/20/2037 ‡ (b) | 4098 | 3859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 3.94%, 10/20/2038 ‡ (b) | 5172 | 4869 |
| &nbsp;&nbsp;&nbsp; Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025 | 11975 | 11838 |
| &nbsp;&nbsp;&nbsp; Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 3275 | 2832 |
| &nbsp;&nbsp;&nbsp; Stanwich Mortgage Loan Co. LLC Series 2021-NPB1, Class A1, 2.73%, 10/16/2026 (b) (d) | 24090 | 21353 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6XS, Class A5A, 6.03%, 3/25/2034 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6XS, Class A5B, 6.05%, 3/25/2034 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &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; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-AL1, Class A3, 3.45%, 2/25/2032 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; Tricolor Auto Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 4.34%, 5/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class C, 4.71%, 8/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class D, 5.38%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 4.88%, 11/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class D, 3.20%, 3/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.40%, 3/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9851 |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-1, Class A, 4.15%, 4/11/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1, Class A, 4.30%, 8/15/2025 | &nbsp;&nbsp;&nbsp; 15589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class B, 3.65%, 10/7/2025 | &nbsp;&nbsp;&nbsp; 16338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class B, 3.65%, 1/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.60%, 3/1/2026 | &nbsp;&nbsp;&nbsp; 15534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1, Class A, 4.00%, 4/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class A, 3.75%, 9/3/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B, 3.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class AA, 3.10%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class A, 3.45%, 7/7/2028 | &nbsp;&nbsp;&nbsp; 20245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 2.88%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class A, 3.10%, 10/7/2028 | &nbsp;&nbsp;&nbsp; 15362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 3/1/2030 | &nbsp;&nbsp;&nbsp; 16507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 4.15%, 8/25/2031 | &nbsp;&nbsp;&nbsp; 13009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 4.55%, 8/25/2031 | &nbsp;&nbsp;&nbsp; 11766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class AA, 2.70%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5388 |
| &nbsp;&nbsp;&nbsp; United Auto Credit Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class B, 5.41%, 12/10/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class C, 5.81%, 5/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1894 |
| &nbsp;&nbsp;&nbsp; Upstart Pass-Through Trust Series 2021-ST2, Class A, 2.50%, 4/20/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3419 |
| &nbsp;&nbsp;&nbsp; Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (b) | &nbsp;&nbsp;&nbsp; 24721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24552 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class C, 6.21%, 9/15/2026 (b) | 40434 | 37886 |
| &nbsp;&nbsp;&nbsp; USASF Receivables LLC Series 2020-1A, Class B, 3.22%, 5/15/2024 (b) | 5221 | 5197 |
| &nbsp;&nbsp;&nbsp; VCAT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (b) (d) | 23978 | 21676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 ‡ (b) (d) | 14484 | 13165 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | 113441 | 106635 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (d) | 7920 | 7022 |
| &nbsp;&nbsp;&nbsp; VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (b) (d) | 24284 | 21501 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (d) | 49182 | 43526 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (d) | 42319 | 37353 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (b) (d) | 17877 | 16648 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | 63136 | 56181 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (d) | &nbsp;&nbsp; 46467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41444 |
| &nbsp;&nbsp;&nbsp; Welk Resorts LLC Series 2019-AA, Class C, 3.34%, 6/15/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3555 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC Series 2020-1A, Class B, 3.96%, 3/20/2034 ‡ (b) | &nbsp;&nbsp; 15769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15367 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | &nbsp;&nbsp; 42655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38483 |
| &nbsp;&nbsp;&nbsp; WILMA, 7.95%, 3/27/2029 ‡ | &nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $4,720,625)<br>|  | &nbsp;&nbsp; 4390757 |
| **Collateralized Mortgage Obligations — 7.9%** | **Collateralized Mortgage Obligations — 7.9%** | **Collateralized Mortgage Obligations — 7.9%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 3.06%, 3/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 1.03%, 6/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.71%, 7/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 931 |
| &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; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 1.01%, 9/25/2035 ‡ (e) | &nbsp;&nbsp; 12485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.81%, 11/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 894 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 696 |
| &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; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; American General Mortgage Loan Trust Series 2006-1, Class A5, 5.75%, 12/25/2035 (b) (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp; Aml-prop CAP 2022-e Frn, 6.45%, 10/15/2024 ‡ | &nbsp;&nbsp; 39111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38134 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust Series 2021-1, Class A1, 2.60%, 10/25/2026 (b) | &nbsp;&nbsp; 85196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80002 |
| &nbsp;&nbsp;&nbsp; ANTLR Mortgage Trust Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (b) (d) | &nbsp;&nbsp; 43642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41298 |
| &nbsp;&nbsp;&nbsp; ASG Resecuritization Trust Series 2011-1, Class 2A35, 6.00%, 9/28/2036 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; Baml PIMCO Frn, 0.00%, 4/15/2023 ‡ | &nbsp;&nbsp; 24471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23859 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust Series 2004-6, Class 15, PO, 7/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &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; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 1CB1, 5.75%, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class X, PO, 1/25/2036 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2003-C, Class 3A1, 2.75%, 4/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; Baring Series 2021-EBO1, Class PA, IO, 0.00%, 4/22/2023 ‡ (e) | &nbsp;&nbsp; 28975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28250 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; Bayview Financing Trust Series 2021-2F, Class M2, 4.79%, 1/10/2032 ‡ (b) (e) | 9091 | 9101 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class A5, 2.93%, 1/25/2033 (b) (e) | 496 | 477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 3.48%, 10/25/2033 (e) | 20 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 3.10%, 5/25/2034 (e) | 189 | 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 6.80%, 2/25/2036 (e) | 483 | 454 |
| &nbsp;&nbsp;&nbsp; Canaan Pte aug 32, 4.86%, 8/1/2032 (f) | 7000 | 7193 |
| &nbsp;&nbsp;&nbsp; Cascade MH Asset Trust Series 2022-MH1, Class A, 4.25%, 8/25/2054 (b) (d) | 39448 | 34470 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates Series 2003-8, Class 1P, PO, 10/25/2033 ‡ | 16 | 11 |
| &nbsp;&nbsp;&nbsp; Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates Series 2004-1, Class P, PO, 2/25/2034 ‡ | 24 | 17 |
| &nbsp;&nbsp;&nbsp; CFMT LLC Series 2021-HB5, Class A, 0.80%, 2/25/2031 (b) (e) | 16675 | 16010 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 1A1, 3.21%, 6/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A2, Class 2A1, 3.81%, 6/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 9A1, 3.09%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 1A3, 3.49%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 2A1, 3.65%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 7A1, 3.73%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A1, 4.50%, 6/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-18, PO, 11/25/2032 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A26, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A4, 5.75%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 3.33%, 5/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 3.16%, 6/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 3.87%, 11/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class A2, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &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; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 618 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust Series 2006-4, Class 1A2, 6.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &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; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class 1A1, 4.13%, 9/25/2033 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1870 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2, PO, 10/25/2033 ‡ | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A6, PO, 10/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 3.91%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 2.55%, 2/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.03%, 8/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &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 (e) | 409 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR15, Class 3A1, 3.73%, 6/25/2033 (e) | 52 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | 251 | 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-23, Class 1P, PO, 10/25/2033 ‡ | 206 | 145 |
| &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 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A4, 5.50%, 9/25/2034 | 166 | 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 1A4, 5.50%, 12/25/2034 | 549 | 524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class AP, PO, 10/25/2035 ‡ | 38 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class DX, IO, 5.50%, 10/25/2035 ‡ | 953 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-10, Class AP, PO, 11/25/2035 ‡ | 42 | 27 |
| &nbsp;&nbsp;&nbsp; CSMC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (e) | &nbsp;&nbsp; 22159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-JR2, Class A1, 2.22%, 11/25/2061 (b) (e) | &nbsp;&nbsp; 21039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (b) (e) | &nbsp;&nbsp; 24994 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (b) (d) | &nbsp;&nbsp; 29015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27435 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2009, 8.35%, 7/10/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5035 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 4.29%, 2/25/2020 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp; Fairways Tbird, 4.82%, 5/1/2030 (f) | &nbsp;&nbsp; 10066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10234 |
| &nbsp;&nbsp;&nbsp; FHLMC - GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 8, Class ZA, 7.00%, 3/25/2023 | &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;&nbsp;&nbsp;&nbsp; Series 24, Class ZE, 6.25%, 11/25/2023 | &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; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 29, Class L, 7.50%, 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; FHLMC, Reference REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R006, Class ZA, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R007, Class ZA, 6.00%, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1777 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1455, Class WB, IF, 2.97%, 12/15/2022 (e) | &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;&nbsp; Series 1470, Class F, 2.03%, 2/15/2023 (e) | &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;&nbsp; Series 1466, Class PZ, 7.50%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class HD, 5.50%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1498, Class I, 5.02%, 4/15/2023 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2595, Class HC, 5.50%, 4/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1502, Class PX, 7.00%, 4/15/2023 | &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; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1491, Class I, 7.50%, 4/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1518, Class G, IF, 4.68%, 5/15/2023 (e) | &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; 3 |
| &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; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1505, Class Q, 7.00%, 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;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class J, 5.60%, 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class O, 3.13%, 7/15/2023 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2638, Class DS, IF, 4.73%, 7/15/2023 (e) | &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; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class M, HB, IF, 23.42%, 7/15/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1570, Class F, 2.79%, 8/15/2023 (e) | &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;&nbsp; Series 1608, Class L, 6.50%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1573, Class PZ, 7.00%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SK, IF, 17.80%, 9/15/2023 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1591, Class PV, 6.25%, 10/15/2023 | &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; 4 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 1602, Class SA, IF, 11.66%, 10/15/2023 (e) | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2709, Class PG, 5.00%, 11/15/2023 | 141 | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2710, Class HB, 5.50%, 11/15/2023 | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1642, Class PJ, 6.00%, 11/15/2023 | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2720, Class PC, 5.00%, 12/15/2023 | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1983, Class Z, 6.50%, 12/15/2023 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2283, Class K, 6.50%, 12/15/2023 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1658, Class GZ, 7.00%, 1/15/2024 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1865, Class D, PO, 2/15/2024 | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1671, Class L, 7.00%, 2/15/2024 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1671, Class QC, IF, 10.00%, 2/15/2024 (e) | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1686, Class SH, IF, 11.56%, 2/15/2024 (e) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1709, Class FA, 3.27%, 3/15/2024 (e) | &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;&nbsp; Series 1699, Class FC, 4.01%, 3/15/2024 (e) | &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; 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;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1706, Class K, 7.00%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class SN, HB, IF, 25.62%, 3/15/2024 (e) | &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;&nbsp;&nbsp;&nbsp; Series 1720, Class PL, 7.50%, 4/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &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; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class SE, IF, IO, 6.48%, 5/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1737, Class L, 6.00%, 6/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1745, Class D, 7.50%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3614, Class QB, 4.00%, 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2903, Class Z, 5.00%, 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2967, Class S, IF, 12.52%, 4/15/2025 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3684, Class CY, 4.50%, 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3022, Class SX, IF, 7.19%, 8/15/2025 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3051, Class DP, IF, 10.99%, 10/15/2025 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3793, Class AB, 3.50%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1233 |
| &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; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1863, Class Z, 6.50%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1890, Class H, 7.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class ZA, 6.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class PH, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1935, Class FL, 4.57%, 2/15/2027 (e) | &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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1981, Class Z, 6.00%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1970, Class PG, 7.25%, 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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019, Class Z, 6.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &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; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2054, Class PV, 7.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2063, Class PG, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2064, Class TE, 7.00%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2070, Class C, 6.00%, 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2075, Class PH, 6.50%, 8/15/2028 | 122 | 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | 51 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2095, Class PE, 6.00%, 11/15/2028 | 101 | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2106, Class ZD, 6.00%, 12/15/2028 | 219 | 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2388, Class FB, 4.47%, 1/15/2029 (e) | 48 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2110, Class PG, 6.00%, 1/15/2029 | 270 | 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | 65 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2126, Class CB, 6.25%, 2/15/2029 | 264 | 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 14.22%, 3/15/2029 (e) | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | 4 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | 241 | 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2176, Class OJ, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2196, Class TL, 7.50%, 11/15/2029 | &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;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2204, Class GB, 8.00%, 12/20/2029 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2208, Class PG, 7.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3654, Class DC, 5.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2230, Class Z, 8.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2234, Class PZ, 7.50%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2262, Class Z, 7.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2313, Class LA, 6.50%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2325, Class PM, 7.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2332, Class ZH, 7.00%, 7/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class OH, 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;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2475, Class S, IF, IO, 4.13%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2418, Class FO, 4.77%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.78%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class OE, 6.38%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2420, Class XK, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2412, Class SP, IF, 8.35%, 2/15/2032 (e) | 135 | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 9.43%, 2/15/2032 (e) | 153 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 4.08%, 3/15/2032 (e) | 114 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 4.13%, 3/15/2032 (e) | 75 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class TB, 6.50%, 3/15/2032 | 220 | 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2430, Class WF, 6.50%, 3/15/2032 | 179 | 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | 109 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | 134 | 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class ZA, 6.50%, 4/15/2032 | 338 | 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | 297 | 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2441, Class GF, 6.50%, 4/15/2032 | 43 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | 234 | 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2458, Class ZM, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class DH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class PH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3393, Class JO, PO, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class FY, 4.62%, 12/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2544, Class HC, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SY, IF, 9.30%, 12/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class ME, 6.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2567, Class QD, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2596, Class QG, 6.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &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; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2631, Class SA, IF, 7.75%, 6/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2642, Class SL, IF, 4.92%, 7/15/2033 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2653, Class PZ, 5.00%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 5.54%, 7/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4238, Class WY, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2396 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2671, Class S, IF, 7.66%, 9/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2733, Class SB, IF, 4.52%, 10/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2780, Class SY, IF, 7.98%, 11/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2722, Class PF, 4.47%, 12/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3920, Class LP, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2744, Class PE, 5.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2802, Class OH, 6.00%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class SL, IF, 10.29%, 6/15/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class MG, IF, 6.09%, 7/15/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class GO, PO, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2929, Class MS, IF, 11.12%, 2/15/2035 (e) | 191 | 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3077, Class TO, PO, 4/15/2035 | 109 | 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2968, Class EH, 6.00%, 4/15/2035 | 4815 | 4899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2981, Class FA, 4.27%, 5/15/2035 (e) | 242 | 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2988, Class AF, 4.17%, 6/15/2035 (e) | 385 | 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class WP, IF, 8.22%, 6/15/2035 (e) | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3014, Class OD, PO, 8/15/2035 | 35 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class WF, 4.67%, 8/15/2035 (e) | 222 | 223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3029, Class SO, PO, 9/15/2035 | 108 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3064, Class SG, IF, 7.09%, 11/15/2035 (e) | 154 | 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | 546 | 574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class HS, IF, 10.37%, 1/15/2036 (e) | 29 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class AO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OG, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OP, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3147, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3151, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3153, Class EO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3233, Class OP, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3164, Class MG, 6.00%, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class SD, IF, 9.01%, 6/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 3.23%, 7/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3181, Class AZ, 6.50%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3195, Class PD, 6.50%, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, PO, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3202, Class HI, IF, IO, 2.78%, 8/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3200, Class AY, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3645, Class KZ, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3213, Class OA, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3218, Class AO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3225, Class EO, PO, 10/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.83%, 10/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class DT, 7.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3256, PO, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 3704, Class CT, 7.00%, 12/15/2036 | 5525 | 5918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class ET, 7.50%, 12/15/2036 | 1903 | 2073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3261, Class OA, PO, 1/15/2037 | 103 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 2.27%, 1/15/2037 (e) | 157 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | 26 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3510, Class OD, PO, 2/15/2037 | 259 | 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.31%, 2/15/2037 (e) | 153 | 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class B, 6.00%, 2/15/2037 | 256 | 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3286, PO, 3/15/2037 | 10 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.58%, 3/15/2037 (e) | 303 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3443, Class SY, IF, 9.00%, 3/15/2037 (e) | 92 | 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3373, Class TO, PO, 4/15/2037 | 107 | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3302, Class UT, 6.00%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class AO, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3315, Class HZ, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class JO, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3331, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4032, Class TO, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3344, Class SL, IF, IO, 2.73%, 7/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FJ, 3.31%, 7/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3365, PO, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3371, Class FA, 4.47%, 9/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 2.55%, 11/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3383, Class SA, IF, IO, 2.58%, 11/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 2.13%, 1/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class SE, IF, 7.77%, 2/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3423, Class PB, 5.50%, 3/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3424, Class PI, IF, IO, 2.93%, 4/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3453, Class B, 5.50%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3455, Class SE, IF, IO, 2.33%, 6/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3461, Class Z, 6.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1621 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.98%, 8/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3895, Class WA, 5.65%, 10/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3501, Class CB, 5.50%, 1/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 2.13%, 2/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 3.08%, 2/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SM, IF, IO, 2.23%, 5/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3531, Class SA, IF, IO, 2.43%, 5/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.07%, 7/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class TO, PO, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3795, Class EI, IO, 5.00%, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3608, Class SC, IF, IO, 2.38%, 12/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3802, Class LS, IF, IO, 1.45%, 1/15/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 3632, Class BS, IF, 4.59%, 2/15/2040 (e) | 1370 | 1329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SB, IF, IO, 2.13%, 10/15/2040 (e) | 1092 | 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3740, Class SC, IF, IO, 2.13%, 10/15/2040 (e) | 946 | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class GZ, 4.50%, 12/15/2040 | 6765 | 6279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class Z, 4.50%, 12/15/2040 | 16417 | 15944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3860, Class PZ, 5.00%, 5/15/2041 | 11779 | 11863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (e) | 744 | 718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (e) | 1886 | 1861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FB, 4.27%, 10/15/2041 (e) | 1947 | 1927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3957, Class B, 4.00%, 11/15/2041 | 1419 | 1374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | 1200 | 1172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4012, Class FN, 4.37%, 3/15/2042 (e) | 3476 | 3419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4077, Class FB, 4.37%, 7/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class KY, 3.00%, 6/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4257, Class DZ, 2.50%, 10/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class GT, 7.54%, 11/15/2046 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4809, Class ZM, 4.00%, 7/15/2048 | &nbsp;&nbsp;&nbsp; 26145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4837, Class ZB, 4.00%, 10/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 8940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8613 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 197, PO, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 12, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 239, Class S30, IF, IO, 3.83%, 8/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 262, Class 35, 3.50%, 7/15/2042 | &nbsp;&nbsp;&nbsp; 15446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 264, Class F1, 4.42%, 7/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 270, Class F1, 4.37%, 8/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2782 |
| &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 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-48, Class 1A, 4.41%, 7/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.02%, 10/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-42, Class A5, 7.50%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1AP, PO, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-57, Class 1A3, 7.50%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class 4A, 7.50%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1A2, 7.00%, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-62, Class 1A1, 2.89%, 10/25/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1992 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.61%, 8/25/2037 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 4734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | 1185 | 1248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 3F1, 4.42%, 5/25/2042 (e) | 163 | 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 2A9, 5.90%, 7/25/2042 | 310 | 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W2, Class 1A1, 6.50%, 7/25/2042 | 532 | 544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 2A4, 5.20%, 9/25/2042 | 1864 | 1849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W6, Class 3A, 6.50%, 9/25/2042 | 670 | 687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W8, Class 2A, 7.00%, 10/25/2042 | 716 | 739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 209 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W8, Class 3A, 7.50%, 6/25/2044 | 186 | 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W15, Class 2AF, 4.27%, 8/25/2044 (e) | 591 | 585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.24%, 3/25/2045 (e) | 5031 | 4975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W4, Class 1A1, 6.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 2A, 2.96%, 11/25/2045 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.24%, 2/25/2046 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2251 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-T2, Class A1, 7.50%, 1/19/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T3, Class A1, 7.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T4, Class A1, 6.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T16, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 2A, 3.73%, 7/25/2043 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T2, Class 1A4, 7.50%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T1, Class 1A2, 6.50%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class PT1, 9.75%, 1/25/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A2, 6.50%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &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;&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 G93-5, Class Z, 6.50%, 2/25/2023 | &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;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-61, Class ZC, 7.00%, 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (e) | &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;&nbsp;&nbsp; Series 2003-17, Class EQ, 5.50%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-14, Class J, 6.50%, 3/25/2023 | &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;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-37, Class PX, 7.00%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-25, Class J, 7.50%, 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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-21, Class KA, 7.70%, 3/25/2023 | &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;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-4, Class C, PO, 4/25/2023 | &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;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-23, Class EQ, 5.50%, 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (e) | &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;&nbsp;&nbsp; Series 1993-54, Class Z, 7.00%, 4/25/2023 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-62, Class SA, IF, 9.36%, 4/25/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-43, Class SA, IF, IO, 12.43%, 4/25/2023 (e) | &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;&nbsp;&nbsp;&nbsp; Series 2003-39, Class LW, 5.50%, 5/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-56, Class PZ, 7.00%, 5/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-61, Class BH, 4.50%, 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-136, Class ZB, 6.00%, 7/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-122, Class M, 6.50%, 7/25/2023 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-99, Class Z, 7.00%, 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2002-1, Class G, 7.00%, 7/25/2023 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-27, Class FD, 4.90%, 8/25/2023 (e) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-14, Class SE, IF, IO, 6.63%, 8/25/2023 (e) | 14 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-83, Class CS, 6.88%, 8/25/2023 | 15 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-141, Class Z, 7.00%, 8/25/2023 | 25 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-205, Class H, PO, 9/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-37, Class H, PO, 9/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SD, IF, 4.70%, 9/25/2023 (e) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-178, Class PK, 6.50%, 9/25/2023 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (e) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-183, Class KA, 6.50%, 10/25/2023 | 24 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-189, Class PL, 6.50%, 10/25/2023 | 9 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-179, Class SB, IF, 8.81%, 10/25/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-52, Class NS, IF, 12.13%, 10/25/2023 (e) | &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; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-9, Class E, PO, 11/25/2023 | &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;&nbsp;&nbsp;&nbsp; Series 1995-19, Class Z, 6.50%, 11/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-230, Class FA, 4.19%, 12/25/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class FE, 5.02%, 12/25/2023 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-225, Class UB, 6.50%, 12/25/2023 | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class SU, IF, 8.16%, 12/25/2023 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class SA, IF, 9.80%, 12/25/2023 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class UD, IF, 10.44%, 12/25/2023 (e) | &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; 3 |
| &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; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-40, Class Z, 6.50%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-62, Class PK, 7.00%, 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-63, Class PK, 7.00%, 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &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; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-65, Class EY, 5.50%, 8/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-81, Class JG, 5.00%, 11/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &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; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G95-1, Class C, 8.80%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-67, Class EY, 5.50%, 8/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-121, Class DX, 5.50%, 1/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-94, Class GK, IF, 13.17%, 10/25/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-48, Class Z, 7.00%, 11/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, IO, 1.84%, 3/25/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e) | &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;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-32, Class PG, 6.50%, 4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-42, Class ZC, 6.50%, 7/18/2027 | &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; 4 |
| &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; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &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; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class S, IF, IO, 3.58%, 7/25/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class NB, 5.00%, 3/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-18, Class Z, 5.50%, 4/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 1999-17, Class C, 6.35%, 4/25/2029 | 16 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | 27 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | 137 | 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-20, Class SA, IF, IO, 5.08%, 7/25/2030 (e) | 29 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | 9 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | 24 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-31, Class DB, 3.50%, 4/25/2031 | 3410 | 3290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | 127 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-30, Class PM, 7.00%, 7/25/2031 | 67 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | 132 | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | 34 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class MY, 7.00%, 9/25/2031 | 167 | 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class QS, IF, 10.44%, 9/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-52, Class KB, 6.50%, 10/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.90%, 10/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-60, Class PX, 6.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-74, Class SW, IF, 7.68%, 11/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 8.11%, 12/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class LO, PO, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 12.14%, 2/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class LO, PO, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-15, Class ZA, 6.00%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class PE, 6.50%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-48, Class GH, 6.50%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-71, Class AP, 5.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-39, Class ZA, 6.00%, 11/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SH, IF, 7.93%, 11/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-78, Class Z, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 7.12%, 12/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class NZ, 6.50%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-14, Class TI, IO, 5.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-35, Class EA, PO, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class GB, 4.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class AX, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class ED, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class GE, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2003-33, Class IA, IO, 6.50%, 5/25/2033 | 366 | 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | 661 | 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | 289 | 298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 4.33%, 7/25/2033 (e) | 91 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 2.44%, 8/25/2033 (e) | 476 | 419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.94%, 8/25/2033 (e) | 70 | 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | 923 | 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-73, Class HC, 5.50%, 8/25/2033 | 419 | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class TP, IF, 6.10%, 8/25/2033 (e) | 68 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.81%, 9/25/2033 (e) | 71 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class WB, 3.00%, 10/25/2033 | 6931 | 6536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-105, Class AZ, 5.50%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.58%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-122, Class ZJ, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-87, Class F, 4.77%, 1/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.50%, 1/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-131, Class SK, IF, 8.17%, 1/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class EP, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class PF, 4.42%, 3/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class H, 5.50%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.48%, 4/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class FA, 4.42%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 5.46%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 7.94%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.48%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 6.21%, 7/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-25, Class PF, 4.37%, 4/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-42, Class PS, IF, 6.96%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class CS, IF, 8.98%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class SK, IF, 9.09%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class CP, IF, 10.02%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class SU, IF, 5.42%, 6/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.69%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 7.33%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class ZB, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 6.66%, 8/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class SB, IF, 6.83%, 8/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, PO, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-75, Class SV, IF, 8.14%, 9/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class OT, PO, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-90, Class ES, IF, 6.83%, 10/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 9.84%, 11/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2185 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2006-46, Class UC, 5.50%, 12/25/2035 | 93 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-109, Class PC, 6.00%, 12/25/2035 | 47 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-39, Class WC, 5.50%, 1/25/2036 | 41 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OA, PO, 3/25/2036 | 69 | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WQ, PO, 3/25/2036 | 836 | 665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class WN, IF, IO, 2.68%, 3/25/2036 (e) | 3065 | 305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12, Class BZ, 5.50%, 3/25/2036 | 874 | 890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | 191 | 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-8, Class JZ, 5.50%, 3/25/2036 | 1087 | 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11, Class PS, IF, 9.84%, 3/25/2036 (e) | 80 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 4/25/2036 | 259 | 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | 84 | 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class FK, 4.27%, 4/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class LS, IF, 12.08%, 5/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-43, Class DO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class JO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PS, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.56%, 6/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.42%, 6/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class SW, IF, 9.47%, 6/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class IG, IF, IO, 2.50%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.31%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class FL, 4.48%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-71, Class ZL, 6.00%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-63, Class ZH, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-19, Class ZY, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-60, Class AK, IF, 12.74%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-62, Class PS, IF, 15.80%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class OP, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.48%, 8/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DF, 4.37%, 8/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &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; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-86, Class OB, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-42, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-85, Class MZ, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class PW, 4.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-95, Class SG, IF, 10.14%, 10/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2006-109, PO, 11/25/2036 | 48 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | 239 | 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | 132 | 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class OK, PO, 12/25/2036 | 140 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | 76 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-117, Class GS, IF, IO, 2.63%, 12/25/2036 (e) | 547 | 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 3.23%, 12/25/2036 (e) | 1115 | 1089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A1, 3.65%, 12/25/2036 (e) | 241 | 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-115, Class ES, IF, 10.50%, 12/25/2036 (e) | 17 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, PO, 1/25/2037 | 144 | 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class CO, PO, 1/25/2037 | 405 | 343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, Class BP, 5.50%, 1/25/2037 | 56 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-10, Class FD, 4.27%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class SD, IF, 14.90%, 2/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class OP, PO, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 2.06%, 3/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.42%, 3/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-77, Class FG, 4.52%, 3/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.77%, 3/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-63, Class P, 5.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-18, Class MZ, 6.00%, 3/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class EO, PO, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, Class SI, IF, IO, 2.08%, 4/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-29, Class SG, IF, 9.28%, 4/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class AO, PO, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-43, Class FL, 4.32%, 5/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class B, 6.00%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YS, IF, IO, 1.76%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SH, IF, IO, 2.08%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class WI, IF, IO, 2.08%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-98, Class FB, 4.47%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-92, Class YA, 6.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, PO, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class EK, IF, IO, 2.38%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-65, Class KI, IF, IO, 2.60%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 3.13%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class FC, 4.52%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-70, Class Z, 5.50%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-62, Class SE, IF, 6.46%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class AZ, 5.50%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class ZG, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &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; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-78, Class PE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 9.29%, 8/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.52%, 9/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SL, IF, 6.11%, 9/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class OT, PO, 10/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1992 |

---

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**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2007-100, Class SM, IF, IO, 2.43%, 10/25/2037 (e) | 607 | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.44%, 10/25/2037 (e) | 1032 | 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-108, Class SA, IF, IO, 2.34%, 12/25/2037 (e) | 28 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class AI, IF, IO, 2.38%, 12/25/2037 (e) | 859 | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class SA, IF, IO, 2.43%, 12/25/2037 (e) | 981 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-112, Class MJ, 6.50%, 12/25/2037 | 654 | 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 0.99%, 1/25/2038 (e) | 1398 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.89%, 2/25/2038 (e) | 770 | 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-4, Class SD, IF, IO, 1.98%, 2/25/2038 (e) | 2021 | 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.18%, 3/25/2038 (e) | 244 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.21%, 3/25/2038 (e) | 277 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-20, Class SA, IF, IO, 2.97%, 3/25/2038 (e) | 360 | 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class FA, 4.92%, 3/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SP, IF, 5.97%, 3/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class SA, IF, IO, 2.83%, 4/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.88%, 4/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-28, Class QS, IF, 8.65%, 4/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-46, Class HI, IO, 1.30%, 6/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 423 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 3.18%, 7/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-56, Class AC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class JC, 5.00%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-47, Class ZA, 5.50%, 7/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.83%, 9/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.83%, 9/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.53%, 2/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &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; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-17, Class QS, IF, IO, 2.63%, 3/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &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; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &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; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-60, Class HT, 6.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-65, Class MT, 5.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, Class WA, 6.03%, 9/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-84, Class WS, IF, IO, 1.88%, 10/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &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; 823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 2.16%, 12/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 3.32%, 12/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class WA, 6.30%, 12/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-113, Class AO, PO, 1/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class ST, IF, IO, 2.23%, 1/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-1, Class WA, 6.22%, 2/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 4.63%, 3/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WB, 6.16%, 3/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-16, Class WA, 6.44%, 3/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SB, IF, IO, 2.40%, 4/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class SJ, IF, 4.28%, 4/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-40, Class FJ, 4.62%, 4/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2010-42, Class S, IF, IO, 2.38%, 5/25/2040 (e) | 295 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class FD, 4.62%, 5/25/2040 (e) | 283 | 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-63, Class AP, PO, 6/25/2040 | 333 | 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | 2051 | 2061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class MB, 5.50%, 6/25/2040 | 3704 | 3734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 1194 | 1227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-102, Class PN, 5.00%, 9/25/2040 | 1373 | 1374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-111, Class AM, 5.50%, 10/25/2040 | 3918 | 4023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-125, Class SA, IF, IO, 0.42%, 11/25/2040 (e) | 1636 | 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.51%, 1/25/2041 (e) | 3042 | 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.56%, 4/25/2041 (e) | 2091 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class EF, 4.52%, 7/25/2041 (e) | 159 | 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.57%, 8/25/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-149, Class MF, 4.52%, 11/25/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class LB, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-99, Class FA, 4.47%, 9/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-101, Class FC, 4.52%, 9/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-97, Class FB, 4.52%, 9/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-108, Class F, 4.52%, 10/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1754 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class TA, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2831 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4, Class AJ, 3.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 4387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-135, PO, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-29, Class PS, IF, IO, 2.03%, 5/25/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-63, Class DA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-94, Class DZ, 4.00%, 1/25/2049 | &nbsp;&nbsp;&nbsp; 12435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class SB, IF, IO, 2.08%, 11/25/2049 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.88%, 2/25/2051 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-58, Class WA, 5.50%, 7/25/2051 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W10, Class A6, 5.75%, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W3, Class 1A3, 6.75%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W5, PO, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 15.08%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W6, Class 1A6, 6.15%, 6/25/2042 | &nbsp;&nbsp;&nbsp; 11876 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.21%, 10/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.84%, 12/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.31%, 12/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W11, Class 1A1, 6.00%, 5/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W1, Class 1A2, 6.50%, 10/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W3, Class 2A, 6.00%, 9/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W10, Class 2A, 6.31%, 8/25/2047 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1932 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1969 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 3.96%, 6/27/2036 (e) | 1915 | 1887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.42%, 6/25/2037 (e) | 901 | 884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-64, Class FB, 4.39%, 7/25/2037 (e) | 282 | 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.24%, 10/25/2037 (e) | 213 | 221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-90, Class A1, 6.50%, 6/25/2042 | 319 | 332 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &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; Series 265, Class 2, 9.00%, 3/25/2024 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 300, Class 1, PO, 9/25/2024 | 51 | 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | 36 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (e) | 51 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &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; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 33, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 412, Class F2, 4.52%, 8/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class F1, 4.57%, 8/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5047 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.28%, 11/25/2046 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3828 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 |
| &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; 316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 4.36%, 8/16/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-52, Class GH, 6.50%, 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-43, Class ZQ, 5.50%, 1/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class BE, 6.50%, 1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class SP, IF, IO, 3.76%, 2/20/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-25, Class PZ, 5.50%, 4/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-46, Class MG, 6.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-75, Class ZX, 6.00%, 9/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 518 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-90, PO, 10/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-41, Class WA, 5.83%, 10/20/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-97, Class SA, IF, IO, 2.66%, 11/16/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.66%, 12/16/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.97%, 4/16/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class JM, IF, 8.17%, 5/18/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, PO, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-49, Class Z, 6.00%, 6/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-103, Class WA, 5.68%, 8/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-73, Class JL, IF, IO, 2.66%, 9/16/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class ST, IF, 7.00%, 9/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class SB, IF, 10.12%, 9/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-83, Class AP, IF, 5.86%, 10/16/2034 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-89, Class LS, IF, 10.13%, 10/16/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.16%, 10/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-96, Class SC, IF, IO, 2.14%, 11/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class SK, IF, IO, 2.81%, 1/20/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2005-68, Class DP, IF, 7.07%, 6/17/2035 (e) | 334 | 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-79, Class CS, IF, 2.86%, 6/20/2035 (e) | 555 | 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class IC, IO, 5.50%, 7/20/2035 | 111 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SP, IF, 7.88%, 8/16/2035 (e) | 68 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | 656 | 560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-65, Class SA, IF, 7.81%, 8/20/2035 (e) | 27 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 2.36%, 9/20/2035 (e) | 2290 | 197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-72, Class AZ, 5.50%, 9/20/2035 | 601 | 609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-82, PO, 10/20/2035 | 155 | 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class BO, PO, 11/20/2035 | 226 | 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | 235 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-20, Class QA, 5.75%, 2/20/2036 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 5/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class SW, IF, IO, 2.56%, 6/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-34, PO, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-33, Class Z, 6.50%, 7/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1529 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.76%, 10/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-57, Class PZ, 5.56%, 10/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class SA, IF, IO, 2.86%, 11/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.89%, 2/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, PO, 3/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class CI, IF, IO, 2.26%, 3/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.92%, 4/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19, Class SD, IF, IO, 2.26%, 4/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-129, Class AW, 5.93%, 4/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-25, Class FN, 4.19%, 5/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 2.26%, 5/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SD, IF, IO, 2.26%, 5/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-35, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class HO, PO, 6/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.58%, 6/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SJ, IF, IO, 2.31%, 6/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.70%, 7/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SN, IF, IO, 2.74%, 7/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SD, IF, IO, 2.81%, 7/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class ES, IF, IO, 2.61%, 9/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 8.39%, 9/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &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; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SP, IF, 5.52%, 10/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-74, Class SL, IF, IO, 2.65%, 11/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-73, Class MI, IF, IO, 2.06%, 11/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SB, IF, IO, 2.56%, 11/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-67, Class SI, IF, IO, 2.57%, 11/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2007-72, Class US, IF, IO, 2.61%, 11/20/2037 (e) | 564 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-7, Class SK, IF, 8.13%, 11/20/2037 (e) | 67 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.61%, 12/20/2037 (e) | 849 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, PO, 1/20/2038 | 37 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-137, Class WA, 5.55%, 1/20/2038 (e) | 2302 | 2390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 2.06%, 2/20/2038 (e) | 5269 | 292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-17, IO, 5.50%, 2/20/2038 | 125 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.81%, 4/16/2038 (e) | 353 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 2.36%, 4/20/2038 (e) | 834 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.51%, 5/16/2038 (e) | 2834 | 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.26%, 6/20/2038 (e) | 208 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-50, Class KB, 6.00%, 6/20/2038 | 430 | 441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-60, Class CS, IF, IO, 2.21%, 7/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-69, Class QD, 5.75%, 7/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 2.06%, 8/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-59, Class WA, 5.58%, 8/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-76, Class US, IF, IO, 1.96%, 9/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class S, IF, IO, 2.26%, 9/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.66%, 9/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-97, Class WA, 6.11%, 11/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.76%, 12/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-96, Class SL, IF, IO, 2.06%, 12/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-95, Class DS, IF, IO, 3.36%, 12/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-163, Class WA, 5.89%, 12/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-6, Class W, 5.36%, 1/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1774 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.21%, 2/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class SC, IF, IO, 2.26%, 2/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 482 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-10, Class SA, IF, IO, 2.01%, 2/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SH, IF, IO, 2.10%, 2/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-31, Class TS, IF, IO, 2.36%, 3/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 2.33%, 4/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-35, Class ZB, 5.50%, 5/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 9942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 2.01%, 6/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class SC, IF, IO, 2.14%, 6/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-64, Class SN, IF, IO, 2.21%, 7/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 2.36%, 8/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-104, Class AB, 7.00%, 8/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-81, Class SB, IF, IO, 2.15%, 9/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-75, Class MN, 5.50%, 9/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class AS, IF, IO, 2.51%, 11/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-147, Class BE, 4.00%, 12/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 3874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class W, 5.25%, 5/20/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.12%, 6/20/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.59%, 7/20/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1063 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2010-130, Class CP, 7.00%, 10/16/2040 | 1868 | 1997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | 2006 | 1673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class SM, IF, IO, 2.66%, 5/20/2041 (e) | 1314 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class AK, 4.68%, 9/20/2041 (e) | 1458 | 1463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.55%, 10/20/2041 (e) | 1458 | 1442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WA, 4.52%, 11/16/2041 (e) | 1637 | 1623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-157, Class UY, 3.00%, 12/20/2041 | 1500 | 1332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.73%, 1/20/2042 (e) | 1373 | 1326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WB, 4.02%, 9/16/2042 (e) | 891 | 873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41, Class W, 4.69%, 10/20/2042 (e) | 1514 | 1503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.88%, 11/20/2042 (e) | 955 | 958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.46%, 4/20/2043 (e) | 1266 | 1234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-78, Class SW, IF, IO, 2.16%, 6/20/2049 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-134, Class ST, IF, IO, 3.11%, 9/20/2050 (e) | &nbsp;&nbsp;&nbsp; 50730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FA, 3.59%, 3/20/2060 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 3.57%, 4/20/2060 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 3.44%, 8/20/2060 (e) | &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; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H05, Class FB, 3.64%, 12/20/2060 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H06, Class FA, 3.59%, 2/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1301 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class CF, 3.84%, 5/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H19, Class FA, 3.61%, 8/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class JA, 3.69%, 10/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H10, Class FA, 3.69%, 12/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FB, 3.74%, 3/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class MA, 3.69%, 4/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H08, Class FS, 3.84%, 4/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3908 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H15, Class FA, 3.59%, 5/20/2062 (e) | &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;&nbsp;&nbsp; Series 2012-H26, Class MA, 3.69%, 7/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 3.66%, 8/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H28, Class FA, 3.72%, 9/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 3.66%, 10/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FE, 3.74%, 10/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H02, Class HF, 3.44%, 11/20/2062 (e) | &nbsp;&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; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class FA, 1.65%, 1/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class JA, 3.46%, 1/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class SA, 3.56%, 2/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1192 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FC, 3.59%, 2/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 3.55%, 3/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3338 |
| &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; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FG, 3.61%, 5/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FC, 3.61%, 6/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H01, Class FD, 3.79%, 1/20/2064 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FA, 3.83%, 2/20/2064 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H06, Class HB, 3.79%, 3/20/2064 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H09, Class TA, 3.74%, 4/20/2064 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H10, Class TA, 3.74%, 4/20/2064 (e) | &nbsp;&nbsp;&nbsp; 12734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H11, Class VA, 3.64%, 6/20/2064 (e) | &nbsp;&nbsp;&nbsp; 13413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H15, Class FA, 3.64%, 7/20/2064 (e) | &nbsp;&nbsp;&nbsp; 13347 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13164 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2014-H17, Class FC, 3.64%, 7/20/2064 (e) | 8523 | 8376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H19, Class FE, 3.61%, 9/20/2064 (e) | 11843 | 11688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H20, Class LF, 3.74%, 10/20/2064 (e) | 6252 | 6158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H02, Class FB, 3.64%, 12/20/2064 (e) | 3461 | 3426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H03, Class FA, 3.64%, 12/20/2064 (e) | 3557 | 3526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H07, Class ES, 3.10%, 2/20/2065 (e) | 6054 | 5981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H05, Class FC, 3.62%, 2/20/2065 (e) | 21988 | 21632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H06, Class FA, 3.62%, 2/20/2065 (e) | 9559 | 9445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H08, Class FC, 3.62%, 3/20/2065 (e) | 30088 | 29729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FC, 3.62%, 4/20/2065 (e) | 25701 | 25365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FA, 3.62%, 5/20/2065 (e) | 14849 | 14668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FD, 3.58%, 6/20/2065 (e) | 7118 | 7019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 3.58%, 6/20/2065 (e) | &nbsp;&nbsp; 10963 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H18, Class FA, 3.59%, 6/20/2065 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FG, 3.58%, 7/20/2065 (e) | &nbsp;&nbsp; 12362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FL, 3.58%, 7/20/2065 (e) | &nbsp;&nbsp; 17270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H20, Class FA, 3.61%, 8/20/2065 (e) | &nbsp;&nbsp; 10892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H26, Class FG, 3.66%, 10/20/2065 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3206 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H32, Class FH, 3.80%, 12/20/2065 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H07, Class FA, 3.89%, 3/20/2066 (e) | &nbsp;&nbsp; 30656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H07, Class FB, 3.89%, 3/20/2066 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H11, Class FD, 2.57%, 5/20/2066 (e) | &nbsp;&nbsp; 14999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H26, Class FC, 4.14%, 12/20/2066 (e) | &nbsp;&nbsp; 10095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 1.90%, 3/20/2067 (e) | &nbsp;&nbsp; 45306 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class XI, IO, 1.23%, 6/20/2067 (e) | &nbsp;&nbsp; 34768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H09, Class FE, 2.61%, 6/20/2068 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H20, Class ID, IO, 0.02%, 12/20/2069 (e) | &nbsp;&nbsp; 19015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H02, Class MI, IO, 0.01%, 1/20/2070 (e) | &nbsp;&nbsp; 41995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H05, IO, 0.02%, 3/20/2070 (e) | &nbsp;&nbsp; 38865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class CI, IO, 0.02%, 5/20/2070 (e) | &nbsp;&nbsp; 40695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, IO, 0.03%, 5/20/2070 (e) | &nbsp;&nbsp; 44885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H09, Class IC, IO, 0.29%, 5/20/2070 (e) | &nbsp;&nbsp; 46384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H11, IO, 0.29%, 6/20/2070 (e) | &nbsp;&nbsp; 24705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H12, Class IJ, IO, 0.66%, 7/20/2070 (e) | &nbsp;&nbsp; 34755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H12, Class HI, IO, 1.05%, 7/20/2070 (e) | &nbsp;&nbsp; 29979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H15, IO, 0.72%, 8/20/2070 (e) | &nbsp;&nbsp; 44611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2851 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-R1, 5.00%, 10/20/2051 ‡ | &nbsp;&nbsp; 12138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11228 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1AF, 4.44%, 6/25/2034 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, 4.39%, 3/25/2035 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 0.53%, 9/25/2035 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2744 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.39%, 9/25/2035 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3171 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-3F, Class 4A3, 5.75%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5F, Class 8A3, 4.54%, 6/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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-AR6, Class 3A1, 3.01%, 9/25/2035 (e) | 26 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | 486 | 461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 | 124 | 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | 1564 | 813 |
| &nbsp;&nbsp;&nbsp; Headlands Residential LLC Series 2021-RPL1, Class NOTE, 2.49%, 9/25/2026 (b) (e) | 30000 | 27975 |
| &nbsp;&nbsp;&nbsp; Home RE Ltd. (Bermuda) Series 2022-1, Class M1B, 7.02%, 10/25/2034 ‡ (b) (e) | 9350 | 9079 |
| &nbsp;&nbsp;&nbsp; Homeward Opportunities Fund Trust Series 2020-BPL1, Class A1, 3.23%, 8/25/2025 (b) (d) | 16024 | 15977 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust Series 2005-4, Class 2A1, 4.62%, 5/25/2035 (e) | 672 | 558 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2003-2, Class A1, 5.50%, 8/25/2033 | 325 | 269 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust Series 2006-1, Class 2A1, 4.74%, 5/25/2036 (e) | 457 | 384 |
| &nbsp;&nbsp;&nbsp; Jonah nov 37 144a, 7.80%, 11/10/2037 ‡ (b) | 43120 | 42285 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 4.19%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A3, Class 4A1, 3.63%, 7/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 3.75%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class 1A1, 3.93%, 9/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &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; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A1, Class 3A4, 3.53%, 2/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A1, 3.35%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A1, Class 5A2, 3.35%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS1, Class A1, 2.88%, 10/25/2059 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS5, Class A1, 3.25%, 6/25/2060 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 9747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GS1, Class A1, 1.89%, 10/25/2066 (b) (d) | &nbsp;&nbsp;&nbsp; 20845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18719 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.91%, 4/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &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; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 666 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust Series 2020-RTL1, Class A1, 3.23%, 10/25/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 651 |
| &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 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 2.69%, 4/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 3.44%, 12/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &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; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 2A1, 6.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 3A1, 6.00%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30, PO, 7/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 3A1, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 ‡ | &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;&nbsp;&nbsp; Series 2003-12, Class 30, PO, 12/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2003-12, Class 6A1, 5.00%, 12/25/2033 | 67 | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 1A6, 5.25%, 12/26/2033 | 173 | 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-P7, Class A6, 5.50%, 12/27/2033 (b) | 89 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 ‡ | 10 | 7 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A1F, 4.39%, 5/25/2035 (b) (e) | 5634 | 2991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 4.05%, 5/25/2036 (b) (e) | 596 | 474 |
| &nbsp;&nbsp;&nbsp; Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b) | 85 | 52 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.66%, 10/25/2028 (e) | 275 | 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 4.68%, 10/25/2028 (e) | 462 | 428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.50%, 4/25/2029 (e) | 106 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-C, Class A2, 3.44%, 7/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A5, Class 2A6, 3.31%, 8/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A4, Class A2, 3.52%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 3.01%, 12/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A2, Class A1, 2.83%, 2/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage-Backed Securities Trust Series 2007-3, Class 1A3, 3.82%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp; Mill City Securities Ltd. (Cayman Islands) Series 2021-RS1, Class A1, 2.91%, 4/28/2066 (b) (e) | &nbsp;&nbsp;&nbsp; 44582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40441 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class 4A, 3.21%, 10/25/2019 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A, 5.65%, 4/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 754 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp; MRA Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 40398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO7, Class A1Y, 2.86%, 2/15/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 14088 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-EBO1, Class A1X, 7.80%, 3/23/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 18355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-EBO1, Class A1Y, 7.80%, 3/23/2023 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO2, Class A, 4.35%, 4/5/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 66333 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63600 |
| &nbsp;&nbsp;&nbsp; MRFC Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC2, Class A1, 4.36%, 6/15/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 623 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-TBC3, Class A1, 4.32%, 12/15/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; Nited Mortgage Mezz sep 23, 8.00%, 9/15/2023 ‡ | &nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29250 |
| &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; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &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; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &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; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; Ocwen Series 2021-GNMSR1, 5.00%, 3/15/2023 ‡ | &nbsp;&nbsp;&nbsp; 25457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24693 |
| &nbsp;&nbsp;&nbsp; PMC PLS ESR Issuer LLC Series 2022-PLS1, Class A, 5.11%, 2/25/2027 (b) (d) | &nbsp;&nbsp;&nbsp; 19447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18417 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust Series 2004-CL1, Class 1A1, 6.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp; PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 42249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (d) | &nbsp;&nbsp;&nbsp; 54480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50091 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-QS16, Class A3, IF, 8.22%, 10/25/2017 (e) | &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; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS12, Class A2A, IF, IO, 4.01%, 6/25/2018 ‡ (e) | &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;&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;&nbsp;&nbsp;&nbsp; —(g) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA6, Class A32, 4.26%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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-QS1, Class 1A1, 6.00%, 1/25/2037 | 78 | 59 |
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b) | 34 | 18 |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust Series 2003-A8, Class A5, 4.25%, 10/25/2018 | 12 | 13 |
| &nbsp;&nbsp;&nbsp; Rillion Capital Iii Frn, 7.25%, 11/15/2024 ‡ | 95725 | 95725 |
| &nbsp;&nbsp;&nbsp; SART Series 2017-1, 4.75%, 7/15/2024 | 9361 | 9160 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 10439 | 9899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class MT, 3.50%, 6/25/2057 ‡ | 29900 | 27024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MA, 3.50%, 3/25/2058 ‡ | 11779 | 11218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MZ, 3.50%, 3/25/2058 ‡ | 13841 | 11123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | 40750 | 36637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M55D, 4.00%, 7/25/2058 | 23306 | 22289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class MB, 3.50%, 10/25/2058 | &nbsp;&nbsp;&nbsp; 26447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp; 36880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class MB, 2.00%, 11/25/2059 ‡ | &nbsp;&nbsp;&nbsp; 11990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class MT, 2.00%, 5/25/2060 ‡ | &nbsp;&nbsp;&nbsp; 51784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp; 71772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63360 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Series 2018-1, Class A1, 3.50%, 6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9077 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A2, 4.25%, 9/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class A1, 4.64%, 9/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class A1A, 4.56%, 11/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11, Class A1, 4.54%, 12/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-12, Class A3, 3.07%, 1/20/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; Series RR Trust Series 2014-1, Class B, PO, 5/25/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7450 |
| &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 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AR5, Class A3, 4.44%, 7/19/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1665 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4XS, Class 1A5, 5.07%, 2/25/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, 4.39%, 6/25/2035 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &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 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-37A, Class 2A, 3.72%, 12/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 652 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 4.68%, 9/25/2043 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 1168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A, 2.71%, 12/25/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 689 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-FRE2, Class M6, 4.00%, 11/25/2047 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 23849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (e) | &nbsp;&nbsp;&nbsp; 98473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (b) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9388 |
| &nbsp;&nbsp;&nbsp; Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023 (e) | 102150 | &nbsp;&nbsp;&nbsp;&nbsp; 102150 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-1, Class ZB, 7.25%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 1, 4.62%, 2/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 1997-1, Class 2Z, 7.50%, 2/15/2027 | 444 | 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | 336 | 339 |
| &nbsp;&nbsp;&nbsp; VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 (b) (e) | 47353 | 44613 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S4, Class 2A10, IF, 6.34%, 6/25/2033 (e) | 75 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | 169 | 159 |
| &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 | 319 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR7, Class A7, 3.80%, 8/25/2033 (e) | 297 | 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 4.13%, 9/25/2033 (e) | 1483 | 1353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 4.17%, 9/25/2033 (e) | 154 | 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 ‡ | 13 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR11, Class A6, 4.23%, 10/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 3.10%, 6/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 2A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S3, Class 1A5, 5.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 3.57%, 9/25/2036 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR8, Class 1A2, 3.68%, 8/25/2046 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class CP, PO, 3/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A3, IF, IO, 0.96%, 4/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 1.01%, 4/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class 3A2, 5.75%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡ | &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; Wells Fargo Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class A, PO, 9/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-PA3, Class 1A2, 5.75%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp; WH Master Fund Frn 144a, 9.65%, 11/15/2024 ‡ (b) | &nbsp;&nbsp;&nbsp; 35309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $2,684,561)<br>|  | &nbsp;&nbsp; 2515109 |
| **Commercial Mortgage-Backed Securities — 7.5%** | **Commercial Mortgage-Backed Securities — 7.5%** | **Commercial Mortgage-Backed Securities — 7.5%** |
| &nbsp;&nbsp;&nbsp; 20 Times Square Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class D, 3.20%, 5/15/2035 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 21000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20TS, Class E, 3.20%, 5/15/2035 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 13399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11315 |
| &nbsp;&nbsp;&nbsp; Acrc Series TL-2021A3.75%, 11/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34503 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5689 |
| &nbsp;&nbsp;&nbsp; BAMLL Re-REMIC Trust Series 2014-FRR5, Class AK30, PO, 6/27/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3088 |
| &nbsp;&nbsp;&nbsp; BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | &nbsp;&nbsp;&nbsp; 46923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43560 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Commercial Mortgage Securities Trust Series 2007-T26, Class X1, IO, 1.17%, 1/12/2045 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK45, 1.67%, 2/28/2025 (b) (e) | &nbsp;&nbsp;&nbsp; 13760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12368 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2021-FRR1, Class BKW1, 1.68%, 1/29/2026 ‡ (b) (e) | 14340 | 11897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AKW1, 2.01%, 1/29/2026 (b) (e) | 16010 | 13982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK54, 1.86%, 2/28/2026 (b) (e) | 14570 | 12678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK98, 0.00%, 8/29/2029 (b) | 22370 | 15119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FRR1, Class AK58, 2.36%, 9/29/2029 (b) (e) | 28730 | 24868 |
| &nbsp;&nbsp;&nbsp; CD Mortgage Trust Series 2006-CD3, Class XS, IO, 0.18%, 10/15/2048 ‡ (b) (e) | 748 | 2 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) | 4484 | 4366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-HOME, Class A, 3.94%, 4/10/2033 (b) (e) | 53745 | 48568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (b) (e) | 6150 | 6049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (b) | 7550 | 6946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CBM, Class B, 3.10%, 2/10/2037 ‡ (b) | 14250 | 12927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-CR19, Class A5, 3.80%, 8/10/2047 | &nbsp;&nbsp;&nbsp; 13800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR24, Class A5, 3.70%, 8/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | &nbsp;&nbsp;&nbsp; 17593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16786 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Commercial Mortgage Trust Series 2007-C2, Class AX, IO, 0.05%, 1/15/2049 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 15593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; CSMC OA LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class A2, 3.95%, 9/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-USA, Class D, 4.37%, 9/15/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 16830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12924 |
| &nbsp;&nbsp;&nbsp; DBWF Mortgage Trust Series 2015-LCM, Class A2, 3.54%, 6/10/2034 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3504 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KLU2, Class A7, 2.23%, 9/25/2025 (e) | &nbsp;&nbsp;&nbsp; 13313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KJ17, Class A2, 2.98%, 11/25/2025 | &nbsp;&nbsp;&nbsp; 16547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K737, Class AM, 2.10%, 10/25/2026 | &nbsp;&nbsp;&nbsp; 24520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K061, Class AM, 3.44%, 11/25/2026 (e) | &nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K065, Class AM, 3.33%, 5/25/2027 | &nbsp;&nbsp;&nbsp; 11657 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K066, Class A2, 3.12%, 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K070, Class A2, 3.30%, 11/25/2027 (e) | &nbsp;&nbsp;&nbsp; 17323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K072, Class A2, 3.44%, 12/25/2027 | &nbsp;&nbsp;&nbsp; 14689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K072, Class AM, 3.50%, 12/25/2027 (e) | &nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series W5FX, Class AFX, 3.34%, 4/25/2028 (e) | &nbsp;&nbsp;&nbsp; 21769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K081, Class A2, 3.90%, 8/25/2028 (e) | &nbsp;&nbsp;&nbsp; 13531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K082, Class AM, 3.92%, 9/25/2028 (e) | &nbsp;&nbsp;&nbsp; 12035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K087, Class A2, 3.77%, 12/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K115, Class XAM, IO, 1.65%, 7/25/2030 (e) | &nbsp;&nbsp;&nbsp; 44581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K118, Class XAM, IO, 1.26%, 9/25/2030 (e) | &nbsp;&nbsp;&nbsp; 21865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K137, Class AM, 1.98%, 12/25/2031 (e) | &nbsp;&nbsp;&nbsp; 29800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K138, Class AM, 1.89%, 1/25/2032 | &nbsp;&nbsp;&nbsp; 22150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K142, Class A2, 2.40%, 3/25/2032 | &nbsp;&nbsp;&nbsp; 58400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-150, Class AM, 3.52%, 9/25/2032 (e) | &nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-150, Class A2, 3.71%, 9/25/2032 (e) | &nbsp;&nbsp;&nbsp; 50460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-151, Class A2, 3.80%, 10/25/2032 (e) | 100650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1515, Class A2, 1.94%, 2/25/2035 | &nbsp;&nbsp;&nbsp; 22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class APT2, 1.17%, 5/25/2050 (e) | &nbsp;&nbsp;&nbsp; 14564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 6/25/2054 | &nbsp;&nbsp;&nbsp; 27100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class AM, 2.92%, 6/25/2054 | &nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K145, Class A2, 2.58%, 6/25/2055 | &nbsp;&nbsp;&nbsp; 40795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35131 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 K145, Class AM, 2.58%, 6/25/2055 | 42900 | 36523 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family WI Certificates Series K153, Class A2, 3.82%, 1/25/2033 | 75000 | 71091 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-M9, Class A2, 2.39%, 1/25/2023 (e) | 593 | 590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-M13, Class A2, 2.60%, 4/25/2023 (e) | 575 | 567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e) | 5006 | 4916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M3, Class A2, 3.50%, 1/25/2024 (e) | 5373 | 5270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e) | 5955 | 5762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M1, Class A2, 2.53%, 9/25/2024 | 8105 | 7763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M7, Class A2, 2.59%, 12/25/2024 | 4831 | 4620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M2, Class A3, 3.11%, 12/25/2024 (e) | 8421 | 8108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M8, Class A2, 2.90%, 1/25/2025 (e) | 8984 | 8623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M1, Class A2, 2.94%, 1/25/2026 (e) | &nbsp;&nbsp;&nbsp; 52237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-M11, Class A2, 2.37%, 7/25/2026 (e) | &nbsp;&nbsp;&nbsp; 96850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.55%, 12/25/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M10, Class A2, 3.09%, 4/25/2027 (e) | &nbsp;&nbsp;&nbsp; 40435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M8, Class A2, 3.06%, 5/25/2027 (e) | &nbsp;&nbsp;&nbsp; 30486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M12, Class A2, 3.17%, 6/25/2027 (e) | &nbsp;&nbsp;&nbsp; 30729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M15, Class A2, 3.06%, 9/25/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M2, Class A2, 3.00%, 1/25/2028 (e) | &nbsp;&nbsp;&nbsp; 21011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M4, Class A2, 3.16%, 3/25/2028 (e) | &nbsp;&nbsp;&nbsp; 23058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M9, Class APT2, 3.22%, 4/25/2028 (e) | &nbsp;&nbsp;&nbsp; 86523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.41%, 6/25/2028 (e) | &nbsp;&nbsp;&nbsp; 32039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A2, 3.47%, 7/25/2028 (e) | &nbsp;&nbsp;&nbsp; 45168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M1, Class A2, 3.67%, 9/25/2028 (e) | &nbsp;&nbsp;&nbsp; 31143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class 2A1, 1.59%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M38, Class X2, IO, 2.10%, 11/25/2028 (e) | &nbsp;&nbsp;&nbsp; 49812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M7, Class A2, 3.14%, 4/25/2029 | &nbsp;&nbsp;&nbsp; 35640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M5, Class A2, 3.20%, 4/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6559 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M11, Class A2, 2.98%, 8/25/2029 | &nbsp;&nbsp;&nbsp; 14669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M5, Class A2, 2.21%, 1/25/2030 | &nbsp;&nbsp;&nbsp; 44138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M3, Class A2, 3.17%, 2/25/2030 (e) | &nbsp;&nbsp;&nbsp; 15738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A1, 0.67%, 10/25/2030 | &nbsp;&nbsp;&nbsp; 19517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp; 12140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (e) | 190874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M3, Class A2, 1.76%, 11/25/2031 (e) | &nbsp;&nbsp;&nbsp; 40500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (e) | &nbsp;&nbsp;&nbsp; 48740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.68%, 6/25/2032 | &nbsp;&nbsp;&nbsp; 60253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (e) | &nbsp;&nbsp;&nbsp; 56250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp; 13992 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (e) | 148626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M5, Class A1, 2.45%, 1/1/2034 (e) | &nbsp;&nbsp;&nbsp; 16252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M10, Class X, IO, 1.02%, 5/25/2049 (e) | &nbsp;&nbsp;&nbsp; 88159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4930 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K727, Class B, 3.87%, 7/25/2024 (b) (e) | &nbsp;&nbsp;&nbsp; 27500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-KSL1, Class B, 3.83%, 11/25/2025 (b) (e) | &nbsp;&nbsp;&nbsp; 10011 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KL05, Class BP, 4.09%, 6/25/2029 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-KHG2, Class B, 3.17%, 2/25/2030 (b) (e) | &nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11295 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <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 2018-KW07, Class B, 4.22%, 10/25/2031 (b) (e) | 5000 | 4084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K44, Class B, 3.85%, 1/25/2048 (b) (e) | 769 | 732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K45, Class B, 3.73%, 4/25/2048 (b) (e) | 11025 | 10530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K47, Class B, 3.71%, 6/25/2048 (b) (e) | 5000 | 4746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K51, Class B, 4.09%, 10/25/2048 (b) (e) | 10000 | 9554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K56, Class B, 4.08%, 6/25/2049 (b) (e) | 8451 | 7998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K722, Class B, 4.06%, 7/25/2049 (b) (e) | 21565 | 21384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K67, Class B, 4.08%, 9/25/2049 (b) (e) | 8500 | 7877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K729, Class B, 3.80%, 11/25/2049 (b) (e) | 8000 | 7635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K63, Class B, 4.01%, 2/25/2050 (b) (e) | 20000 | 18576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K102, Class B, 3.65%, 12/25/2051 (b) (e) | 6000 | 5097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K90, Class B, 4.46%, 2/25/2052 (b) (e) | 8500 | 7839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.42%, 1/25/2053 (b) (e) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9120 |
| &nbsp;&nbsp;&nbsp; Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (b) | &nbsp;&nbsp;&nbsp; 36250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33913 |
| &nbsp;&nbsp;&nbsp; JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK36, 2.09%, 12/27/2046 (b) (e) | &nbsp;&nbsp;&nbsp; 14610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13873 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-CB11, Class X1, IO, 0.20%, 8/12/2037 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB15, Class X1, IO, 0.45%, 6/12/2043 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-LD12, Class X, IO, 0.00%, 2/15/2051 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8924 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8012 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust Series 2021-MHC, Class E, 5.98%, 4/15/2038 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 15700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14727 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp; 38560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class E, 2.72%, 12/15/2036 ‡ (b) | &nbsp;&nbsp;&nbsp; 81600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71900 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp; 40900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39366 |
| &nbsp;&nbsp;&nbsp; RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4405 |
| &nbsp;&nbsp;&nbsp; SBALR Commercial Mortgage Trust Series 2020-RR1, Class A3, 2.83%, 2/13/2053 (b) | &nbsp;&nbsp;&nbsp; 24215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20670 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp; 67015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54053 |
| &nbsp;&nbsp;&nbsp; UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; UBS-Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C6, Class A4, 3.24%, 4/10/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C2, Class XA, IO, 0.67%, 5/10/2063 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6845 | &nbsp;&nbsp;&nbsp;&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; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Class XC, IO, 0.00%, 3/15/2045 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust Series 2015-C30, Class A4, 3.66%, 9/15/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 8751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8278 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.41%, 3/15/2045 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $2,578,046)<br>|  | &nbsp;&nbsp; 2399245 |
| **Municipal Bonds — 0.5%** (h) | **Municipal Bonds — 0.5%** (h) | **Municipal Bonds — 0.5%** (h) |
| **California — 0.1%** | **California — 0.1%** | **California — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., <br> 6.58%, 5/15/2039<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3252 |
| &nbsp;&nbsp;&nbsp; Regents of the University of California Medical Center Pooled Series 2020N, Rev., 3.71%, 5/15/2120 | &nbsp;&nbsp;&nbsp; 21120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13586 |
| &nbsp;&nbsp;&nbsp; State of California, Various Purpose GO, 7.30%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2960 |
| &nbsp;&nbsp;&nbsp; Total California |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19798 |
| **New York — 0.1%** | **New York — 0.1%** | **New York — 0.1%** |
| &nbsp;&nbsp;&nbsp; New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2373 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Municipal Bonds — continued** | **Municipal Bonds — continued** | **Municipal Bonds — continued** |
| **New York — continued** | **New York — continued** | **New York — continued** |
| &nbsp;&nbsp;&nbsp; Port Authority of New York and New Jersey, Consolidated |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 164, Rev., 5.65%, 11/1/2040 | 10965 | 11747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 165, Rev., 5.65%, 11/1/2040 | 3780 | 4049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 174, Rev., 4.46%, 10/1/2062 | 17925 | 16120 |
| &nbsp;&nbsp;&nbsp; Total New York |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34289 |
| **Ohio — 0.2%** | **Ohio — 0.2%** | **Ohio — 0.2%** |
| &nbsp;&nbsp;&nbsp; American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 | 11725 | 14145 |
| &nbsp;&nbsp;&nbsp; County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project Rev., 2.88%, 11/1/2050 | 4675 | 2904 |
| &nbsp;&nbsp;&nbsp; County of Hamilton, Healthcare Facilities, The Christ Hospital Rev., AGM, 3.76%, 6/1/2042 | 16870 | 13125 |
| &nbsp;&nbsp;&nbsp; Ohio State University (The), General Receipts |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016A, Rev., 4.05%, 12/1/2056 | 3478 | 2968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-A, Rev., 4.80%, 6/1/2111 | &nbsp;&nbsp;&nbsp;&nbsp; 9576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8155 |
| &nbsp;&nbsp;&nbsp; Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 | &nbsp;&nbsp;&nbsp;&nbsp; 5822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5282 |
| &nbsp;&nbsp;&nbsp; Total Ohio |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46579 |
| **Oklahoma — 0.1%** | **Oklahoma — 0.1%** | **Oklahoma — 0.1%** |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Natural Gas Company Series 2022, Rev., 4.71%, 5/1/2052 | &nbsp;&nbsp; 11680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10832 |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Public Service Company Series 2022, Rev., 4.62%, 6/1/2044 | &nbsp;&nbsp; 27500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26030 |
| &nbsp;&nbsp;&nbsp; Total Oklahoma |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36862 |
| **Pennsylvania — 0.0% ^** | **Pennsylvania — 0.0% ^** | **Pennsylvania — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Chester County Health and Education Facilities Authority, Main Line Health System Rev., 3.31%, 6/1/2051 | &nbsp;&nbsp; 11130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Municipal Bonds <br>(Cost $166,445)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 144980 |
| **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp; Kingdom of Saudi Arabia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/2/2033 (b) | &nbsp;&nbsp; 10140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/2/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3149 |
| &nbsp;&nbsp;&nbsp; Republic of Chile 2.55%, 1/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8012 |
| &nbsp;&nbsp;&nbsp; Republic of Panama |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.16%, 1/23/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 4/16/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3930 |
| &nbsp;&nbsp;&nbsp; Republic of Peru 5.63%, 11/18/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739 |
| &nbsp;&nbsp;&nbsp; Republic of South Africa 5.88%, 9/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 3502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3521 |
| &nbsp;&nbsp;&nbsp; United Arab Emirates Government Bond 2.88%, 10/19/2041 (b) | &nbsp;&nbsp; 15748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11888 |
| &nbsp;&nbsp;&nbsp; United Mexican States |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/11/2028 | &nbsp;&nbsp; 22959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 5/24/2031 | &nbsp;&nbsp; 20674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 3/8/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 1/23/2046 | &nbsp;&nbsp; 15089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 1/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 2/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 2/12/2052 | &nbsp;&nbsp; 14965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11613 |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Foreign Government Securities — continued** | **Foreign Government Securities — continued** | **Foreign Government Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 5/24/2061 | 11682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/12/2110 | 5118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Foreign Government Securities <br>(Cost $170,344)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 140936 |
| **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** | **U.S. Government Agency Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp; Israel Government AID Bond (Israel) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/4/2023 | 7240 | 7284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.14%, 11/1/2024 (a) | 5000 | 4568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/18/2033 | 6771 | 7498 |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.24%, 1/15/2030 (a) | 30700 | 22524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 2.93%, 4/15/2030 (a) | 26456 | 19122 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2036 | &nbsp;&nbsp; 31814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 4157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/15/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 2604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2328 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 4.42%, 11/1/2025 (a) | &nbsp;&nbsp; 17495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 6.00%, 7/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 3.94%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 5.39%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $137,882)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 125154 |
| **Loan Assignments — 0.1%** (c) (i) | **Loan Assignments — 0.1%** (c) (i) | **Loan Assignments — 0.1%** (c) (i) |
| **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; OneSky, 1st Lien Term Loan (3-MONTH SOFR + 3.88%), 3.88%, 1/15/2031(Cost $55,571) | &nbsp;&nbsp; 54996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Loan Assignments <br>(Cost $55,571)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46723 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Short-Term Investments — 0.8%** | **Short-Term Investments — 0.8%** | **Short-Term Investments — 0.8%** |
| **Investment Companies — 0.8%** | **Investment Companies — 0.8%** | **Investment Companies — 0.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (j) (k) <br>(Cost $253,581)<br>| 253620 | &nbsp;&nbsp;&nbsp;&nbsp; 253696 |
| **Total Investments — 99.9%** <br>**(Cost $35,752,278)**<br>|  | **31979132** |
| **Other Assets Less Liabilities — 0.1%** |  | **42463** |
| **NET ASSETS — 100.0%** |  | **32021595** |

---

&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** |  |
| ABS | Asset-Backed Securities |

---

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | |
|:---|:---|
| ACES | Alternative Credit Enhancement Securities |
| AGM | Insured by Assured Guaranty Municipal Corp. |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022. |
| CSMC | Credit Suisse Mortgage Trust |
| DN | Discount Notes |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| FRN | Floating Rate Note |
| GNMA | Government National Mortgage Association |
| GO | General Obligation |
| ICE | Intercontinental Exchange |
| 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>|
| LIBOR | London Interbank Offered Rate |
| 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>|
| RE | Reinsured |
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
| Rev. | Revenue |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
| 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>|
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | The rate shown is the effective yield as of November 30, 2022.  |
| (b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. |
| (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 <br> predetermined trigger. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (g) | Value is zero. |
| (h) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (i) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
| (j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan <br> Investment Management Inc.<br>|
| (k) | The rate shown is the current yield as of November 30, 2022. |

---

**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 | 3720 | 03/22/2023 | USD | 423324 | &nbsp;&nbsp; 3305 |
| U.S. Treasury 2 Year Note | 3843 | 03/31/2023 | USD | 789947 | &nbsp;&nbsp; 2881 |
| U.S. Treasury 5 Year Note | 4829 | 03/31/2023 | USD | 525380 | &nbsp;&nbsp; 4216 |
|  |  |  |  |  | 10402 |

---

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

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

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

---

------

**JPMorgan Core Bond 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 Core Bond 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 | $— | $3000508 | $1390249 | $4390757 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2041926 | &nbsp;&nbsp;&nbsp;&nbsp; 473183 | &nbsp;&nbsp;&nbsp;&nbsp; 2515109 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2163536 | &nbsp;&nbsp;&nbsp;&nbsp; 235709 | &nbsp;&nbsp;&nbsp;&nbsp; 2399245 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7312922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 7312922 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140936 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46723 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5785687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 5785687 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144980 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125154 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8863923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8863923 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 253696 | &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; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253696 |
| **Total Investments in Securities** | $253696 | $29626295 | $2099141 | $31979132 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | $10402 | $— | $— | $10402 |

---

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 | $781986 | $—(b) | $(87407) | $(1121) | $530863 | $(156646) | $268722 | $(72054) | $125906 | $1390249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp; 669441 | &nbsp;&nbsp; (8547) | &nbsp;&nbsp;&nbsp;&nbsp; (13375) | &nbsp;&nbsp;&nbsp;&nbsp; (944) | &nbsp;&nbsp; 271812 | &nbsp;&nbsp; (215241) | &nbsp;&nbsp;&nbsp;&nbsp; 14171 | &nbsp;&nbsp;&nbsp;&nbsp; (75328) | &nbsp;&nbsp; (168806) | &nbsp;&nbsp;&nbsp;&nbsp; 473183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 217967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (20504) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4898) | &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; 42900 | &nbsp;&nbsp;&nbsp;&nbsp; 235709 |
| **Total** | $1669394 | $(8547) | $(121286) | $(1878) | $802732 | $(376785) | $282893 | $(147382) | $— | $2099141 |

---

&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.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Amount rounds to less than one thousand.

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 $(129,972).

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

------

**JPMorgan Core Bond Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued) <br>(Dollar values in thousands)

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>|
|  | $772901 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (18.30%) |
|  |  |  | Constant Default Rate | 0.00% - 5.03% (0.06%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 6.01% - 13.14% (7.72%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 772901 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 112824 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (90.55%) |
|  |  |  | Constant Default Rate | 0.00% - 6.69% (0.06%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.24% - 27.49% (5.80%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations<br>| &nbsp;&nbsp;&nbsp;&nbsp; 112824 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 149941 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.00%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 6.01% - 81.25% (16.61%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 149941 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $1035666 |  |  |  |

---

&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 $1,063,475. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. 

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

**B. Investment Transactions with Affiliates** — The Fund invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. 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% <br> (a) (b)<br>| $1584083 | $7964707 | $9295097 | $206 | $(203) | $253696 | 253620 | $10616 | $— |

---

&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 Core Bond Fund

- **b. EDGAR series identifier (if any):** S000003477

- **c. LEI of Series:** DQ695W4P67V7A4LC6I09

**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:** $32163094454.06

**Total Liabilities:** $144625409.93

**Net Assets:** $32018469044.13

**Cash Not Reported:** $216425.49

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7166.25795000 | **1-Year:** 545601.49776000 | **5-Year:** 3285216.91507000 | **10-Year:** 4995553.65801000 | **30-Year:** 2131083.45943000

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

- **3-Month:** 15779.76787000 | **1-Year:** 376241.20996000 | **5-Year:** 403398.08395000 | **10-Year:** 63733.10568000 | **30-Year:** 30983.26263000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009618 | -3.99%               | -1.52%               | 3.11%                |
| Class ID C000009615 | -3.87%               | -1.46%               | 3.21%                |
| Class ID C000033520 | -3.87%               | -1.56%               | 3.32%                |
| Class ID C000173234 | -3.90%               | -1.59%               | 3.29%                |
| Class ID C000173235 | -3.88%               | -1.47%               | 3.21%                |
| Class ID C000009616 | -3.88%               | -1.48%               | 3.18%                |
| Class ID C000070638 | -3.92%               | -1.61%               | 3.26%                |
| Class ID C000009619 | -3.85%               | -1.54%               | 3.32%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-59622554.96            | $-1262107453.51                            |
| Month 2  | $-48509496.73            | $-505122136.05                             |
| Month 3  | $-40046468.26            | $958128003.63                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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, Series 2004-73, Class JL                                                                                           | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177180 | PA      | $100546.62    | 0.00%             | 2034-09-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 120000000 | PA      | $102750000.00 | 0.32%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9066000 | PA      | $18427832.46  | 0.06%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 96145DAB1<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    920000 | PA      | $879931.34    | 0.00%             | 2024-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-3, Class SK                                                                                            | CUSIP: 38374KRV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1130046 | PA      | $90727.79     | 0.00%             | 2035-01-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K55J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4030008 | PA      | $3768118.60   | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    958294 | PA      | $46690.78     | 0.00%             | 2038-12-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| BOC Aviation Ltd.                                                     | BOC Aviation Ltd.                                                                                                        | CUSIP: 09681LAJ9<br>LEI: 254900H06V5RMEB3KE72 | Long             | DBT              | CORP              | SG        |   7945000 | PA      | $7613792.81   | 0.02%             | 2024-10-10      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48836344 | PA      | $41944770.52  | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4663379 | PA      | $4609555.06   | 0.01%             | 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        |      3574 | PA      | $3522.51      | 0.00%             | 2062-11-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24963000 | PA      | $16506344.40  | 0.05%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-45, Class QA                                                                                           | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818734 | PA      | $40617.13     | 0.00%             | 2037-07-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                                  | Boston Properties LP                                                                                                     | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   3157000 | PA      | $3003039.42   | 0.01%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                          | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UAW3<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $6832245.40   | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  14000000 | PA      | $12319184.78  | 0.04%             | 2026-09-22      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  27070000 | PA      | $26855217.15  | 0.08%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                             | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26446722 | PA      | $22864288.66  | 0.07%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1635092.17   | 0.01%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6842000 | PA      | $5338365.06   | 0.02%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                            | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |   1184000 | PA      | $1304489.71   | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128282Y5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24000000.00  | 0.07%             | 2024-09-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10490328 | PA      | $8773863.57   | 0.03%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  31809000 | PA      | $25096168.60  | 0.08%             | 2031-02-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                       | Nordstrom, Inc.                                                                                                          | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   7263000 | PA      | $5831789.54   | 0.02%             | 2030-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ABXM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306651 | PA      | $309549.22    | 0.00%             | 2031-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111035 | PA      | $114613.96    | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BM1<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   4360000 | PA      | $4281181.10   | 0.01%             | 2024-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1886200 | PA      | $1861116.40   | 0.01%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-179, Class SB                                                                                   | CUSIP: 31359EFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       918 | PA      | $886.40       | 0.00%             | 2023-10-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7Z41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7728463 | PA      | $7459795.44   | 0.02%             | 2026-10-01      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6399000 | PA      | $5978252.57   | 0.02%             | 2029-04-23      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |  12800000 | PA      | $9874200.19   | 0.03%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-22, Class SC                                                                                    | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16312 | PA      | $81.04        | 0.00%             | 2037-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H05, Class FC                                                                                          | CUSIP: 38375UUV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21988371 | PA      | $21631739.50  | 0.07%             | 2065-02-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1491, Class I                                                                                       | CUSIP: 312915QG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       838 | PA      | $838.55       | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4802110 | PA      | $4650520.92   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series K                                                                                 | CUSIP: 744533BP4<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |  12330000 | PA      | $8294410.73   | 0.03%             | 2051-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3195, Class PD                                                                                      | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279840 | PA      | $287662.82    | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SC                                                                                      | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946251 | PA      | $99439.76     | 0.00%             | 2040-10-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70991 | PA      | $69346.35     | 0.00%             | 2033-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |   9600000 | PA      | $7364726.11   | 0.02%             | 2050-05-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195203 | PA      | $197458.52    | 0.00%             | 2036-02-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                               | United Auto Credit Securitization Trust, Series 2022-2, Class B                                                          | CUSIP: 90944KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4433229.45   | 0.01%             | 2025-12-10      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J8CB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35931470 | PA      | $34863969.72  | 0.11%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H11, Class FD                                                                                          | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14999004 | PA      | $14697760.69  | 0.05%             | 2066-05-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7F91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    971307 | PA      | $925265.59    | 0.00%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-53, Class NC                                                                                    | CUSIP: 31394ABD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4997 | PA      | $4977.45      | 0.00%             | 2024-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-81, Class SB                                                                                           | CUSIP: 38376F4W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1790185 | PA      | $129010.39    | 0.00%             | 2039-09-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-75, Class MN                                                                                           | CUSIP: 38376CLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2733326 | PA      | $2826117.34   | 0.01%             | 2039-09-20      | 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        |  12241550 | PA      | $10781377.92  | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Corporate Office Properties LP                                        | Corporate Office Properties LP                                                                                           | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |   3440000 | PA      | $2662267.15   | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31416CFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75141 | PA      | $76874.41     | 0.00%             | 2037-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Queen's Health Systems (The)                                          | Queen's Health Systems (The)                                                                                             | CUSIP: 74825QAB6<br>LEI: 5493002Y81US5EEDOV69 | Long             | DBT              | CORP              | US        |  18840000 | PA      | $17641923.33  | 0.06%             | 2052-07-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3895, Class WA                                                                                      | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301932 | PA      | $303993.04    | 0.00%             | 2038-10-15      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FAV3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  17495000 | PA      | $15453373.56  | 0.05%             | 2025-11-01      | 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 CP                                | CUSIP: 9393362Y8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36685 | PA      | $24004.64     | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  3 | 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        |     34772 | PA      | $31814.80     | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    664251 | PA      | $667006.89    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15978 | PA      | $16246.83     | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                          | Biogen, Inc.                                                                                                             | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |  10880000 | PA      | $8975529.33   | 0.03%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  62969145 | PA      | $55774022.02  | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  92209000 | PA      | $87452595.14  | 0.27%             | 2024-02-15      | None          | 0.00%                 | 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        |    894198 | PA      | $696062.61    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WRQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901075 | PA      | $847847.70    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class PS                                                                                    | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623579 | PA      | $539745.46    | 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        |  36043903 | PA      | $31883669.09  | 0.10%             | 2026-05-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2003-S4, Class 2A10                                                      | CUSIP: 9292275C6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74954 | PA      | $72134.25     | 0.00%             | 2033-06-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   5192000 | PA      | $4290262.27   | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2146818 | PA      | $2145481.46   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                            | Microchip Technology, Inc.                                                                                               | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   5925000 | PA      | $5794235.25   | 0.02%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                            | Liberty Mutual Group, Inc.                                                                                               | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4227690.78   | 0.01%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-39, Class WC                                                                                    | CUSIP: 31395DFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40567 | PA      | $40344.15     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  20400000 | PA      | $17978607.11  | 0.06%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36050000 | PA      | $29004096.36  | 0.09%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48504746 | PA      | $42263685.63  | 0.13%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Pass-Through Trust                                    | Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA                                                              | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3275326 | PA      | $2831734.59   | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                                          | Xilinx, Inc.                                                                                                             | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |  15185000 | PA      | $12916853.45  | 0.04%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                         | Discover Bank                                                                                                            | CUSIP: 25466AAE1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   8109000 | PA      | $7724436.35   | 0.02%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    850164 | PA      | $903428.99    | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5558875 | PA      | $5477752.65   | 0.02%             | 2048-02-20      | 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        |     11654 | PA      | $11224.26     | 0.00%             | 2025-08-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 270000000 | PA      | $261583592.40 | 0.82%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  18000000 | PA      | $17121194.64  | 0.05%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                                       | Welltower, Inc.                                                                                                          | CUSIP: 95040QAF1<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4239209.40   | 0.01%             | 2048-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                         | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   2469000 | PA      | $2304911.25   | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |  25815000 | PA      | $19304880.37  | 0.06%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Akeshore Hilltop A  aug33                                             | Akeshore Hilltop A  aug33                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  10906000 | PA      | $11587296.83  | 0.04%             | 2033-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4315507 | PA      | $4085971.98   | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43231 | PA      | $42685.87     | 0.00%             | 2036-08-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-247, Class SU                                                                                   | CUSIP: 31359FP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1256 | PA      | $1249.03      | 0.00%             | 2023-12-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                   | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QBL9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   6334000 | PA      | $6077951.22   | 0.02%             | 2025-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                            | TransCanada PipeLines Ltd.                                                                                               | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   6345000 | PA      | $6569653.04   | 0.02%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74654 | PA      | $7954.16      | 0.00%             | 2032-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAA8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1246000 | PA      | $1223463.81   | 0.00%             | 2024-04-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7616973 | PA      | $7121916.78   | 0.02%             | 2051-12-20      | Fixed         | 3.50%                 | 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        |  49181757 | PA      | $43526110.40  | 0.14%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Children's Hospital, Inc.                                  | Nationwide Children's Hospital, Inc.                                                                                     | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |   4136000 | PA      | $3753016.86   | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| REPO FUNDS                                                            | Repo Buyer                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  20502000 | PA      | $19501502.40  | 0.06%             | 2022-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-83, Class CS                                                                                    | CUSIP: 31392GKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15051 | PA      | $15023.26     | 0.00%             | 2023-08-25      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $7688591.40   | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   3840000 | PA      | $2692408.67   | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3546, Class A                                                                                       | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290640 | PA      | $286147.02    | 0.00%             | 2039-02-15      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1XL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16329211 | PA      | $16712629.04  | 0.05%             | 2049-06-20      | Fixed         | 5.00%                 | 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        | 253620406 | NS      | $253696492.40 | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2642, Class SL                                                                                      | CUSIP: 31393VYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4017 | PA      | $3350.80      | 0.00%             | 2033-07-15      | Floating      | 4.92%                 | No            |                  2 | 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        |   3393787 | PA      | $3310310.55   | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-12, Class A3                                                                         | CUSIP: 81744FGA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543845 | PA      | $490971.93    | 0.00%             | 2035-01-20      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 225313AN5<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   9880000 | PA      | $6117998.03   | 0.02%             | 2041-01-11      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR4, Class D                                                                                    | CUSIP: 66981FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20000000 | PA      | $17657338.00  | 0.06%             | 2037-11-17      | Fixed         | 2.01%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-10, Class SA                                                                                           | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    666748 | PA      | $31885.81     | 0.00%             | 2039-02-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                                  | Conagra Brands, Inc.                                                                                                     | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   3420000 | PA      | $3255529.36   | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  11867000 | PA      | $11565702.57  | 0.04%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1794000 | PA      | $1743521.52   | 0.01%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8497221 | PA      | $7600319.65   | 0.02%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1781249 | PA      | $1761832.43   | 0.01%             | 2063-02-20      | Floating      | 3.59%                 | 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        |  65000000 | PA      | $57388773.00  | 0.18%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132108 | PA      | $108506.09    | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                      | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |  15800000 | PA      | $12807708.15  | 0.04%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  27316000 | PA      | $18909307.33  | 0.06%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   9430000 | PA      | $7250814.42   | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                          | National Australia Bank Ltd.                                                                                             | CUSIP: 632525AU5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |  10430000 | PA      | $7929192.33   | 0.02%             | 2030-08-21      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4600000 | PA      | $3879241.59   | 0.01%             | 2038-10-31      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44792 | PA      | $37309.98     | 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        |     77952 | PA      | $80885.48     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342657 | PA      | $344665.99    | 0.00%             | 2037-12-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  12240000 | PA      | $11546053.20  | 0.04%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2J9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  19000000 | PA      | $18071786.92  | 0.06%             | 2024-06-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1                                                             | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147421 | PA      | $136701.19    | 0.00%             | 2030-12-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BTGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4608832 | PA      | $4538506.48   | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2487522.52   | 0.01%             | 2053-04-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10250000 | PA      | $8932350.00   | 0.03%             | 2035-12-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3021 | PA      | $2955.19      | 0.00%             | 2034-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   2865000 | PA      | $2085937.77   | 0.01%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  12403000 | PA      | $12257685.21  | 0.04%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class IG                                                                                    | CUSIP: 31395NE86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147805 | PA      | $11334.65     | 0.00%             | 2036-07-25      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                                         | Viatris, Inc.                                                                                                            | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   8499000 | PA      | $5854433.14   | 0.02%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-33, Class Z                                                                                            | CUSIP: 38374DEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1186762 | PA      | $1240307.54   | 0.00%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3064, Class SG                                                                                      | CUSIP: 31396ERQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154481 | PA      | $168011.87    | 0.00%             | 2035-11-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   8470000 | PA      | $5968452.33   | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5100000 | PA      | $4369699.58   | 0.01%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                                   | Union Carbide Corp.                                                                                                      | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |   2719000 | PA      | $3076505.46   | 0.01%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YAM1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4000000 | PA      | $3613268.96   | 0.01%             | 2027-09-11      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17790610 | PA      | $16769837.56  | 0.05%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                                       | FREED ABS Trust, Series 2022-3FP, Class A                                                                                | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3488190 | PA      | $3468479.15   | 0.01%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    474660 | PA      | $403383.20    | 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        |     46770 | PA      | $45245.83     | 0.00%             | 2034-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35846 | PA      | $30559.88     | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class ES                                                                                           | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560727 | PA      | $22898.73     | 0.00%             | 2037-09-20      | Floating      | 2.61%                 | 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        |     78051 | PA      | $59071.45     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                          | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |  13075000 | PA      | $10433619.62  | 0.03%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2653, Class PZ                                                                                      | CUSIP: 31393WQ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1698193 | PA      | $1687442.76   | 0.01%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208090 | PA      | $7328.56      | 0.00%             | 2038-06-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  13141000 | PA      | $13275827.58  | 0.04%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233749 | PA      | $247187.06    | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| John Sevier Combined Cycle Generation LLC                             | John Sevier Combined Cycle Generation LLC                                                                                | CUSIP: 478045AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3524236 | PA      | $3372966.22   | 0.01%             | 2042-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-4, Class BD                                                                                     | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13803 | PA      | $12705.40     | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  20674000 | PA      | $17149083.00  | 0.05%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53661 | PA      | $53700.21     | 0.00%             | 2036-02-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407DT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51640 | PA      | $52089.86     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 237283200 | PA      | $211376693.78 | 0.66%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H06, Class FA                                                                                          | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300609 | PA      | $1287179.87   | 0.00%             | 2061-02-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H26, Class FG                                                                                          | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3205979 | PA      | $3154272.45   | 0.01%             | 2065-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HXVP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2451696 | PA      | $2464594.59   | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-94, Class DZ                                                                                    | CUSIP: 3136B3WZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12434903 | PA      | $11821213.36  | 0.04%             | 2049-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H10, Class TA                                                                                          | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12733738 | PA      | $12586077.62  | 0.04%             | 2064-04-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J8AJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6360231 | PA      | $6498140.65   | 0.02%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-63, Class P                                                                                     | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15054 | PA      | $14906.26     | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33711 | PA      | $32969.47     | 0.00%             | 2036-02-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-67                                                                                              | CUSIP: 31396WQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271293 | PA      | $229566.28    | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32550000 | PA      | $30199413.47  | 0.09%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class B                                                                                     | CUSIP: 31396VR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550415 | PA      | $568570.43    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |   3615000 | PA      | $2828564.49   | 0.01%             | 2049-06-15      | Fixed         | 3.80%                 | 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        |   6150000 | PA      | $6049344.80   | 0.02%             | 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        |     13678 | PA      | $212.79       | 0.00%             | 2023-08-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G93-27, Class FD                                                                                     | CUSIP: 31359B3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       284 | PA      | $283.43       | 0.00%             | 2023-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 175000000 | PA      | $176203125.00 | 0.55%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203942 | PA      | $216567.85    | 0.00%             | 2035-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAF7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   6102000 | PA      | $5615503.16   | 0.02%             | 2026-07-14      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                                                 | New England Power Co.                                                                                                    | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |   3024000 | PA      | $2277482.05   | 0.01%             | 2047-12-05      | Fixed         | 3.80%                 | Yes           |                  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        |   5766194 | PA      | $44.40        | 0.00%             | 2043-06-12      | Variable      | 0.45%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YA                                                                                    | CUSIP: 31396XNU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93371 | PA      | $97879.39     | 0.00%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1375627.14   | 0.00%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HM2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4784545 | PA      | $4904818.16   | 0.02%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3748991 | PA      | $3827827.12   | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class C                                                                                    | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2949000 | PA      | $2667072.36   | 0.01%             | 2037-07-17      | Fixed         | 2.53%                 | Yes           |                  3 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                    | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607HR53<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   8000000 | PA      | $7118799.44   | 0.02%             | 2032-04-07      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CM2<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   2862000 | PA      | $2671357.92   | 0.01%             | 2027-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H05                                                                                                    | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38864516 | PA      | $2467892.90   | 0.01%             | 2070-03-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                          | National Australia Bank Ltd.                                                                                             | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |  16395000 | PA      | $13765035.75  | 0.04%             | 2034-08-02      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class SW                                                                                           | CUSIP: 38374NPR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5618 | PA      | $37.05        | 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        |    138896 | PA      | $148674.62    | 0.00%             | 2035-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-19, Class ZY                                                                                    | CUSIP: 31397QP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1190755 | PA      | $1256160.72   | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622ABZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38991178 | PA      | $40874713.63  | 0.13%             | 2072-06-20      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33387620 | PA      | $34496777.24  | 0.11%             | 2071-09-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                              | PRET LLC, Series 2021-NPL6, Class A1                                                                                     | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22530247 | PA      | $20824052.03  | 0.07%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-163, Class WA                                                                                          | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2560840 | PA      | $2655838.42   | 0.01%             | 2038-12-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  15614000 | PA      | $14790948.12  | 0.05%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H26, Class FC                                                                                          | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10094590 | PA      | $9968049.24   | 0.03%             | 2066-12-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| LP LMS Asset Securitization Trust                                     | LP LMS Asset Securitization Trust                                                                                        | CUSIP: 50214GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19204845 | PA      | $18935977.53  | 0.06%             | 2028-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAD5<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |  16825000 | PA      | $14618279.27  | 0.05%             | 2043-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-81, Class S                                                                                            | CUSIP: 38373M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797996 | PA      | $36277.62     | 0.00%             | 2038-09-20      | Floating      | 2.26%                 | 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        |    207211 | PA      | $119960.89    | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  3 | On Loan: No      |
| Barrick Gold Corp.                                                    | Barrick Gold Corp.                                                                                                       | CUSIP: 725906AN1<br>LEI: 0O4KBQCJZX82UKGCBV73 | Long             | DBT              | CORP              | CA        |   1767000 | PA      | $1869578.63   | 0.01%             | 2035-10-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6946000 | PA      | $6252879.85   | 0.02%             | 2030-05-08      | Variable      | 4.44%                 | 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        |   2702572 | PA      | $2506350.90   | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10210104 | PA      | $9953168.27   | 0.03%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19194000 | PA      | $17955665.69  | 0.06%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  26456000 | PA      | $19121711.85  | 0.06%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8834574 | PA      | $8264731.26   | 0.03%             | 2026-05-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84317 | PA      | $75337.26     | 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        |    956901 | PA      | $86469.18     | 0.00%             | 2037-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   4020000 | PA      | $3517427.80   | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268900 | PA      | $23033.46     | 0.00%             | 2035-07-25      | Floating      | 2.69%                 | 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        |    482940 | PA      | $454127.52    | 0.00%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                          | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   8020000 | PA      | $6209917.60   | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32751985 | PA      | $31604627.83  | 0.10%             | 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        |     59948 | PA      | $54052.29     | 0.00%             | 2034-05-20      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   9320000 | PA      | $7851022.70   | 0.02%             | 2026-06-05      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                                 | Walt Disney Co. (The)                                                                                                    | CUSIP: 254687CX2<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1628593.25   | 0.01%             | 2024-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AH9<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |    993000 | PA      | $978856.57    | 0.00%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority                                                                                   | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |  11680000 | PA      | $10832090.40  | 0.03%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2019-2A, Class A                                                                          | CUSIP: 52604AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15957819 | PA      | $15438372.68  | 0.05%             | 2028-04-20      | Fixed         | 2.78%                 | Yes           |                  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        |     46017 | PA      | $29554.93     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  15180000 | PA      | $14333380.43  | 0.04%             | 2026-03-18      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3164, Class MG                                                                                      | CUSIP: 31396TDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67640 | PA      | $65079.79     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31390LY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10169 | PA      | $10158.79     | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | 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        |   3257173 | PA      | $3034452.83   | 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        |   1163353 | PA      | $98051.26     | 0.00%             | 2037-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                        | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   7435000 | PA      | $6858280.80   | 0.02%             | 2027-07-26      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    635867 | PA      | $23533.43     | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                        | Piedmont Natural Gas Co., Inc.                                                                                           | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1569248.60   | 0.00%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622A3DB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10827149 | PA      | $11110125.81  | 0.03%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dow Chemical Co. (The)                                                | Dow Chemical Co. (The)                                                                                                   | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |    249000 | PA      | $247199.80    | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class B                                                                                       | CUSIP: 31397F5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256283 | PA      | $257171.86    | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1AP                                          | CUSIP: 31394JDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116462 | PA      | $90614.72     | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 154280000 | PA      | $145101544.93 | 0.45%             | 2044-02-15      | Fixed         | 3.62%                 | 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        |  23977667 | PA      | $21675521.17  | 0.07%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410EFM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163204 | PA      | $163111.25    | 0.00%             | 2036-09-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A4                                                                 | CUSIP: 12669FPC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85946 | PA      | $81409.30     | 0.00%             | 2034-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  12855000 | PA      | $10153992.63  | 0.03%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    582105 | PA      | $52873.02     | 0.00%             | 2036-06-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class DH                                                                                      | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57904 | PA      | $60573.90     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   3046000 | PA      | $2855192.77   | 0.01%             | 2026-09-15      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253443 | PA      | $266318.04    | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-60, Class AK                                                                                    | CUSIP: 31395NUZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89629 | PA      | $88741.22     | 0.00%             | 2036-07-25      | Floating      | 12.74%                | No            |                  2 | On Loan: No      |
| Consumers Energy Co.                                                  | Consumers Energy Co.                                                                                                     | CUSIP: 210518CZ7<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $1565091.70   | 0.00%             | 2046-08-15      | Fixed         | 3.25%                 | 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        |  29015414 | PA      | $27434770.69  | 0.09%             | 2066-10-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| TransCanada PipeLines Ltd.                                            | TransCanada PipeLines Ltd.                                                                                               | CUSIP: 89352HAX7<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |   7750000 | PA      | $6986442.57   | 0.02%             | 2038-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818FE3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4801753.50   | 0.01%             | 2059-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   8600000 | PA      | $7128951.77   | 0.02%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136523 | PA      | $143103.29    | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HABH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    631575 | PA      | $624120.04    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                        | Shell International Finance BV                                                                                           | CUSIP: 822582BE1<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   9000000 | PA      | $8454704.85   | 0.03%             | 2035-05-11      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2022-AA, Class B                                                                  | CUSIP: 56847QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17850000 | PA      | $17818251.99  | 0.06%             | 2037-10-20      | Fixed         | 7.20%                 | Yes           |                  3 | 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        |   7700000 | PA      | $5688981.76   | 0.02%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617GJCQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    837095 | PA      | $854973.54    | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SA                                               | Telefonica Emisiones SA                                                                                                  | CUSIP: 87938WAV5<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |   9130000 | PA      | $7434045.80   | 0.02%             | 2038-03-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406HTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85293 | PA      | $86002.90     | 0.00%             | 2035-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   2959000 | PA      | $3197199.47   | 0.01%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   3512000 | PA      | $3045163.26   | 0.01%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97548 | PA      | $80862.04     | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3802, Class LS                                                                                      | CUSIP: 3137A6CE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2600970 | PA      | $95115.90     | 0.00%             | 2040-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  10428000 | PA      | $7964786.06   | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                     | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |   9370000 | PA      | $5403001.55   | 0.02%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                                            | JetBlue Pass-Through Trust, Series 2020-1, Class B                                                                       | CUSIP: 477164AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4747937 | PA      | $4599879.72   | 0.01%             | 2028-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1111552 | PA      | $1137950.15   | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-183, Class KA                                                                                   | CUSIP: 31359EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23904 | PA      | $23933.85     | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2                                        | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14564201 | PA      | $12890259.14  | 0.04%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946965 | PA      | $931000.38    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755708 | PA      | $740824.19    | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                   | Triton Container International Ltd.                                                                                      | CUSIP: 89681LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |  12450000 | PA      | $9678318.75   | 0.03%             | 2032-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                               | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5800000 | PA      | $6083401.63   | 0.02%             | 2037-05-15      | Fixed         | 6.15%                 | 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        |   3722399 | PA      | $3171454.65   | 0.01%             | 2035-09-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FL2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2197000 | PA      | $2235234.87   | 0.01%             | 2039-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXLX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19166852 | PA      | $19836597.19  | 0.06%             | 2059-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31409EL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15473 | PA      | $15195.42     | 0.00%             | 2036-05-01      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7103713 | PA      | $7238197.49   | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2016-K722, Class B                                                                          | CUSIP: 30295AAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21565000 | PA      | $21383929.48  | 0.07%             | 2049-07-25      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6200000 | PA      | $6048130.81   | 0.02%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    455000 | PA      | $514817.58    | 0.00%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co.                                                     | Campbell Soup Co.                                                                                                        | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   4828000 | PA      | $3316449.37   | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| State of Israel                                                       | Israel Government AID Bond                                                                                               | CUSIP: 46513EGV8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | USGA              | IL        |   7240000 | PA      | $7284141.77   | 0.02%             | 2023-12-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10550000 | PA      | $9864056.20   | 0.03%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47369006 | PA      | $42180045.70  | 0.13%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JY3A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4510138 | PA      | $4182311.39   | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3344, Class SL                                                                                      | CUSIP: 31397JYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225062 | PA      | $18723.55     | 0.00%             | 2037-07-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                       | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18910000 | PA      | $15534876.07  | 0.05%             | 2042-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                             | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  40720000 | PA      | $37070122.25  | 0.12%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding II                                                       | HERO Funding II                                                                                                          | CUSIP: 42772HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4137231 | PA      | $3513336.59   | 0.01%             | 2044-09-21      | Fixed         | 3.75%                 | No            |                  3 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2020-AA, Class B                                                                              | CUSIP: 038413AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2421240.80   | 0.01%             | 2046-07-17      | Fixed         | 2.79%                 | Yes           |                  3 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   9769000 | PA      | $9571874.57   | 0.03%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 141303900 | PA      | $133576342.97 | 0.42%             | 2025-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    606667 | PA      | $613537.46    | 0.00%             | 2036-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398190 | PA      | $41594.88     | 0.00%             | 2038-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                                                    | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7759227 | PA      | $7287865.47   | 0.02%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1994-40, Class Z                                                                                     | CUSIP: 31359G5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79383 | PA      | $79646.03     | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3916669 | PA      | $2909681.52   | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409EFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7659 | PA      | $7646.54      | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9287890.60   | 0.03%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    925539 | PA      | $924962.82    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259025 | PA      | $218219.92    | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103848 | PA      | $102958.44    | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMIP                                                                  | RMIP                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   7491051 | PA      | $7324001.01   | 0.02%             | 2023-08-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  10434000 | PA      | $7835757.04   | 0.02%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jonah  nov37 144a                                                     | Jonah  nov37 144a                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  43120000 | PA      | $42285032.94  | 0.13%             | 2037-11-10      | 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        |     13229 | PA      | $10605.21     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |   4270000 | PA      | $3768421.63   | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  19265000 | PA      | $15221538.50  | 0.05%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13009215 | PA      | $11684086.07  | 0.04%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KC3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5679600 | PA      | $5457364.54   | 0.02%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class AM                                          | CUSIP: 3137FQXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24520000 | PA      | $22403409.08  | 0.07%             | 2026-10-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUJL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4479310 | PA      | $4431258.47   | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   5067000 | PA      | $4949954.02   | 0.02%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48736 | PA      | $49511.99     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 256218000 | PA      | $245869196.12 | 0.77%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NOVA Gas Transmission Ltd.                                            | NOVA Gas Transmission Ltd.                                                                                               | CUSIP: 669771AS6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   5000000 | PA      | $5025010.30   | 0.02%             | 2023-04-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238714 | PA      | $251000.75    | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5476911 | PA      | $5443057.58   | 0.02%             | 2064-04-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                     | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   9568000 | PA      | $8012004.00   | 0.03%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K729, Class B                                                                          | CUSIP: 30306HAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7634536.00   | 0.02%             | 2049-11-25      | Variable      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410U2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471751 | PA      | $474022.31    | 0.00%             | 2036-09-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEHL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5083561 | PA      | $4912361.36   | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3809 | PA      | $3935.01      | 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        |    114450 | PA      | $11143.38     | 0.00%             | 2032-03-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                             | DH Europe Finance II SARL                                                                                                | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |   7065000 | PA      | $5684291.01   | 0.02%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class AO                                                                                      | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293944 | PA      | $241780.13    | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1994-9, Class E                                                                                      | CUSIP: 31359F6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $49.88        | 0.00%             | 2023-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class E1                                                                  | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23735000 | PA      | $18913239.50  | 0.06%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1347462 | PA      | $1346601.77   | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140J2RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8020558.60   | 0.03%             | 2030-12-01      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   4606000 | PA      | $3971402.55   | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45702 | PA      | $47621.83     | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7030000 | PA      | $6696075.00   | 0.02%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  14408000 | PA      | $12763884.97  | 0.04%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  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        |      1725 | PA      | $1724.94      | 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        |    197705 | PA      | $16666.86     | 0.00%             | 2037-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-H20, Class ID                                                                                          | CUSIP: 38380LR21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19014839 | PA      | $1380475.39   | 0.00%             | 2069-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-141, Class Z                                                                                    | CUSIP: 31359B4M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24507 | PA      | $24477.92     | 0.00%             | 2023-08-25      | Fixed         | 7.00%                 | 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        |    158458 | PA      | $131968.21    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |  36880362 | PA      | $33920344.30  | 0.11%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3225, Class EO                                                                                      | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187114 | PA      | $154310.00    | 0.00%             | 2036-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253279 | PA      | $18198.46     | 0.00%             | 2039-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   9020000 | PA      | $7648572.41   | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                          | Chase Mortgage Finance Trust, Series 2007-A2, Class 1A1                                                                  | CUSIP: 16163LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71459 | PA      | $67768.33     | 0.00%             | 2035-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2003-12, Class 30PO                                                             | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8895 | PA      | $6827.05      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HAFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3523629 | PA      | $3409122.37   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | 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        |    827515 | PA      | $772379.27    | 0.00%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4515435 | PA      | $4249954.68   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617HGTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2551769 | PA      | $2640892.67   | 0.01%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334WEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3308737 | PA      | $3193399.24   | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178429 | PA      | $178615.99    | 0.00%             | 2038-04-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                    | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  20010000 | PA      | $15709789.77  | 0.05%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2063, Class PG                                                                                      | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53495 | PA      | $54866.02     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | 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        |    144125 | PA      | $145996.39    | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-11, Class NB                                                                                    | CUSIP: 31397NLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390307 | PA      | $385952.09    | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   4228000 | PA      | $3340120.00   | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  15102000 | PA      | $14251447.81  | 0.04%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-21, Class KA                                                                                    | CUSIP: 31358T4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $196.88       | 0.00%             | 2023-03-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37714 | PA      | $5639.01      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340491 | PA      | $38447.20     | 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        |     74796 | PA      | $74278.99     | 0.00%             | 2035-12-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14526786 | PA      | $13390543.37  | 0.04%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JHN90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1701234 | PA      | $1679578.28   | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1249978 | PA      | $1316618.57   | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16110913 | PA      | $15245761.61  | 0.05%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26914 | PA      | $27917.81     | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | 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        |   2610756 | PA      | $26.11        | 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        |    144603 | PA      | $147839.40    | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    711464 | PA      | $705506.25    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404XJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24876 | PA      | $24327.91     | 0.00%             | 2034-11-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHVC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46224 | PA      | $45787.61     | 0.00%             | 2037-01-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $1997770.21   | 0.01%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    962000 | PA      | $608596.97    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCG4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1098128.83   | 0.00%             | 2052-11-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  16908000 | PA      | $14771677.75  | 0.05%             | 2039-11-21      | Fixed         | 4.05%                 | 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        |    191060 | PA      | $191307.63    | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  17135000 | PA      | $16574067.44  | 0.05%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                                            | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |   3036000 | PA      | $2679600.98   | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9362 | PA      | $9260.78      | 0.00%             | 2034-01-25      | Floating      | 5.50%                 | 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        |   2500000 | PA      | $2304478.25   | 0.01%             | 2045-03-15      | Variable      | 4.41%                 | Yes           |                  3 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5633000 | PA      | $5404368.47   | 0.02%             | 2026-04-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                        | Office Properties Income Trust                                                                                           | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9000000 | PA      | $5762754.90   | 0.02%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                 | Westpac Banking Corp.                                                                                                    | CUSIP: 961214DF7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   5855000 | PA      | $5345832.22   | 0.02%             | 2031-11-23      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class HZ                                                                                    | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191390 | PA      | $193041.92    | 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        |    163882 | PA      | $140575.90    | 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        |    282848 | PA      | $257881.21    | 0.00%             | 2034-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132135 | PA      | $138893.56    | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                       | Prestige Auto Receivables Trust, Series 2022-1A, Class B                                                                 | CUSIP: 74113RAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8700000 | PA      | $8680087.44   | 0.03%             | 2028-07-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2019-3A, Class D                                                             | CUSIP: 30167EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13581690 | PA      | $13315313.40  | 0.04%             | 2025-08-15      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $18976669.80  | 0.06%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-67, Class EY                                                                                    | CUSIP: 31394EE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249730 | PA      | $248252.96    | 0.00%             | 2025-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8870000 | PA      | $7921922.69   | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust                               | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class A                                                         | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5508741 | PA      | $5367344.89   | 0.02%             | 2027-02-16      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 103231001 | PA      | $82655207.41  | 0.26%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A5                                                                                    | CUSIP: 12510HAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5708073 | PA      | $4996634.15   | 0.02%             | 2050-02-15      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14791101 | PA      | $15236531.63  | 0.05%             | 2048-08-20      | Fixed         | 5.00%                 | 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        |     80078 | PA      | $95469.42     | 0.00%             | 2037-07-25      | Floating      | 15.08%                | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J92K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2549192 | PA      | $2515836.64   | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |   5270000 | PA      | $4423138.56   | 0.01%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14825000 | PA      | $10797348.60  | 0.03%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10612 | PA      | $8833.27      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011523 | PA      | $985365.32    | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                          | DNB Bank ASA                                                                                                             | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  22075000 | PA      | $18769097.45  | 0.06%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DF                                                                                    | CUSIP: 31396KYA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502020 | PA      | $494845.18    | 0.00%             | 2036-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAD2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   4305000 | PA      | $4298702.22   | 0.01%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386486 | PA      | $392951.80    | 0.00%             | 2051-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1928000 | PA      | $1564090.00   | 0.00%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1929000 | PA      | $1850787.44   | 0.01%             | 2025-02-01      | Fixed         | 3.50%                 | 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        |    654559 | PA      | $373962.64    | 0.00%             | 2035-05-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A7W88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11274248 | PA      | $9721416.75   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1745, Class D                                                                                       | CUSIP: 3133T54P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12456 | PA      | $12571.17     | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                        | American Municipal Power, Inc., Meldahl Hydroelectric Project                                                            | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |  11725000 | PA      | $14145076.35  | 0.04%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7548 | PA      | $7542.99      | 0.00%             | 2029-03-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DCS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299952 | PA      | $306179.37    | 0.00%             | 2029-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBD0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  13350000 | PA      | $12276151.50  | 0.04%             | 2026-05-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2015-SFR1, Class A                                                                   | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15680132 | PA      | $14905420.30  | 0.05%             | 2052-04-17      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-55, Class S                                                                                     | CUSIP: 31397L4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757799 | PA      | $40696.47     | 0.00%             | 2028-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Hydro-Quebec                                                          | Hydro-Quebec                                                                                                             | CUSIP: 448814EJ8<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |   2642000 | PA      | $2774574.56   | 0.01%             | 2024-07-07      | Fixed         | 8.05%                 | 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        |    340831 | PA      | $309856.77    | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                                             | Molson Coors Beverage Co.                                                                                                | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4019761.75   | 0.01%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122153 | PA      | $106086.09    | 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        |       458 | PA      | $458.23       | 0.00%             | 2025-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25936 | PA      | $26261.03     | 0.00%             | 2028-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class D                                                             | CUSIP: 30167FAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12600000 | PA      | $12545453.34  | 0.04%             | 2029-02-15      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-43, Class SA                                                                                    | CUSIP: 31359TL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       697 | PA      | $11.70        | 0.00%             | 2023-04-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M12, Class A2                                                                                     | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30728702 | PA      | $29014658.43  | 0.09%             | 2027-06-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class IJ                                                                                          | CUSIP: 38380QEW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34755113 | PA      | $2140918.45   | 0.01%             | 2070-07-20      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2015-2, Class A                                                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10554494 | PA      | $8561666.86   | 0.03%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2798000 | PA      | $2428026.67   | 0.01%             | 2027-11-02      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class OG                                                                                      | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84939 | PA      | $72615.84     | 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        |    607770 | PA      | $566806.89    | 0.00%             | 2033-05-25      | Variable      | 4.89%                 | No            |                  3 | On Loan: No      |
| Oportun Funding XIII LLC                                              | Oportun Funding XIII LLC, Series 2019-A, Class A                                                                         | CUSIP: 68377FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  36115168 | PA      | $35100635.08  | 0.11%             | 2025-08-08      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                           | Rogers Communications, Inc.                                                                                              | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |  12810000 | PA      | $10426616.75  | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Exelon Corp.                                                          | Exelon Corp.                                                                                                             | CUSIP: 30161NAU5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1177000 | PA      | $1125258.10   | 0.00%             | 2026-04-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  12901000 | PA      | $11705218.82  | 0.04%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                                    | CNO Global Funding                                                                                                       | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $9902806.65   | 0.03%             | 2026-10-07      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013509 | PA      | $64496.24     | 0.00%             | 2039-08-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   6210000 | PA      | $5580910.54   | 0.02%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   2122000 | PA      | $2062830.17   | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | 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        |   6845435 | PA      | $94.47        | 0.00%             | 2063-05-10      | Variable      | 0.67%                 | Yes           |                  3 | 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        |     92829 | PA      | $85945.75     | 0.00%             | 2035-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| LSEGA Financing plc                                                   | LSEGA Financing plc                                                                                                      | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |  30170000 | PA      | $25802507.53  | 0.08%             | 2028-04-06      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LUH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110984 | PA      | $116842.04    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                  | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 1P                                           | CUSIP: 22541QXK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206396 | PA      | $145069.73    | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404804 | PA      | $417242.02    | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2066428 | PA      | $1944934.02   | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2012-1, Class A                                                               | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1661157 | PA      | $1595455.96   | 0.00%             | 2024-04-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                            | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |   4153000 | PA      | $3892123.12   | 0.01%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                                  | Boston Properties LP                                                                                                     | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   4331000 | PA      | $4153843.48   | 0.01%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KJBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100934 | PA      | $946474.45    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1457394.10   | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |   3583000 | PA      | $3358055.00   | 0.01%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                            | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1834000 | PA      | $1748739.19   | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-129, Class AW                                                                                          | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420291 | PA      | $433147.83    | 0.00%             | 2037-04-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-179, Class SC                                                                                   | CUSIP: 31359EFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       611 | PA      | $617.31       | 0.00%             | 2023-10-25      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-33, Class XS                                                                                           | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352520 | PA      | $23173.67     | 0.00%             | 2038-04-16      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31409V4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60406 | PA      | $60278.05     | 0.00%             | 2036-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405N7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38708 | PA      | $38785.82     | 0.00%             | 2034-10-01      | Variable      | 3.70%                 | 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        |   2406707 | PA      | $248198.89    | 0.00%             | 2041-07-25      | Variable      | 3.03%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2349 | PA      | $2298.38      | 0.00%             | 2036-11-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10550000 | PA      | $8230930.86   | 0.03%             | 2033-02-11      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8276374 | PA      | $7396059.85   | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442RAD3<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   2258000 | PA      | $1905790.91   | 0.01%             | 2044-12-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K90, Class B                                                                           | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7839112.25   | 0.02%             | 2052-02-25      | Variable      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  11700000 | PA      | $9451202.55   | 0.03%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                                       | Welltower, Inc.                                                                                                          | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    460000 | PA      | $465285.67    | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class ST                                                                                           | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121255 | PA      | $122369.14    | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   3755000 | PA      | $2834080.47   | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K727, Class B                                                                          | CUSIP: 30304BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27500000 | PA      | $26362270.00  | 0.08%             | 2024-07-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-48, Class 1A                                           | CUSIP: 31392UZ56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999198 | PA      | $957871.16    | 0.00%             | 2033-07-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $4298891.36   | 0.01%             | 2031-02-15      | Fixed         | 1.70%                 | 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        |     93831 | PA      | $68847.19     | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-136, Class ZB                                                                                   | CUSIP: 31359BSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13014 | PA      | $13002.39     | 0.00%             | 2023-07-25      | Variable      | 6.00%                 | 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        |    841595 | PA      | $763345.75    | 0.00%             | 2033-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2016-K56, Class B                                                                           | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8451000 | PA      | $7997605.54   | 0.02%             | 2049-06-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1794000 | PA      | $1574111.75   | 0.00%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GAIF Bond Issuer Pty. Ltd.                                            | GAIF Bond Issuer Pty. Ltd.                                                                                               | CUSIP: 361435AA8<br>LEI: 2138007UNQRHCRSBNZ86 | Long             | DBT              | CORP              | AU        |   7843000 | PA      | $7227969.27   | 0.02%             | 2026-09-30      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97940 | PA      | $98101.02     | 0.00%             | 2036-03-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class UD                                                                                     | CUSIP: 31392BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2711 | PA      | $2674.47      | 0.00%             | 2023-12-25      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                    | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2066000 | PA      | $1972553.39   | 0.01%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   2241000 | PA      | $1800873.43   | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                                | Oklahoma Development Finance Authority                                                                                   | CUSIP: 6789084G6<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |  27500000 | PA      | $26030001.25  | 0.08%             | 2044-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                  | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   6735000 | PA      | $5823376.80   | 0.02%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-151, Class A2                                         | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100650000 | PA      | $95902782.36  | 0.30%             | 2032-10-25      | Variable      | 3.80%                 | 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        |    455964 | PA      | $240691.65    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A2B1                                                                     | CUSIP: 52607AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6272391 | PA      | $6259219.30   | 0.02%             | 2026-12-15      | Floating      | 8.13%                 | Yes           |                  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        |    319532 | PA      | $285211.23    | 0.00%             | 2035-06-19      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |  13241000 | PA      | $12311983.10  | 0.04%             | 2042-05-15      | Fixed         | 4.40%                 | 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        |    444162 | PA      | $455548.08    | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                                 | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2362371.16   | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-26, Class AK                                                                                           | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458019 | PA      | $1463327.22   | 0.00%             | 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        |     67731 | PA      | $61884.02     | 0.00%             | 2034-12-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6546728 | PA      | $6492062.42   | 0.02%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class WP                                                                                      | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5214 | PA      | $5235.79      | 0.00%             | 2035-06-15      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-56, Class AC                                                                                    | CUSIP: 31397MAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161262 | PA      | $159629.38    | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8289248.58   | 0.03%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AFZD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8673949 | PA      | $7448387.27   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69225 | PA      | $69013.95     | 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        |     82717 | PA      | $65497.31     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  17240000 | PA      | $13272570.70  | 0.04%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                               | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   7325000 | PA      | $6867594.55   | 0.02%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314022 | PA      | $313298.45    | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2090966 | PA      | $97004.30     | 0.00%             | 2041-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-6, Class SH                                                                                            | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411041 | PA      | $2888.02      | 0.00%             | 2039-02-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67204 | PA      | $70714.98     | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29268BAF8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    897000 | PA      | $820400.51    | 0.00%             | 2039-10-07      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617G82F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132369 | PA      | $135959.19    | 0.00%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  15245000 | PA      | $11367360.31  | 0.04%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26323 | PA      | $30042.50     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBB2<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |   1494000 | PA      | $1449927.00   | 0.00%             | 2026-01-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 116650000 | PA      | $109341148.44 | 0.34%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                             | Baker Hughes Holdings LLC                                                                                                | CUSIP: 05724BAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9620850.10   | 0.03%             | 2030-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7LX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    866230 | PA      | $823430.58    | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203799 | PA      | $211724.45    | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  31000000 | PA      | $30616174.74  | 0.10%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47597 | PA      | $6045.01      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ohio Edison Co.                                                       | Ohio Edison Co.                                                                                                          | CUSIP: 677347CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    780000 | PA      | $851789.92    | 0.00%             | 2036-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  11990000 | PA      | $11760342.34  | 0.04%             | 2024-05-22      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25080 | PA      | $26042.16     | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 155000000 | PA      | $147534570.70 | 0.46%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   6530000 | PA      | $4948900.50   | 0.02%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2021162.70   | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3795, Class EI                                                                                      | CUSIP: 3137A5MR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144304 | PA      | $1948.04      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |   3354000 | PA      | $3176482.57   | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138EK7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702503 | PA      | $695552.66    | 0.00%             | 2023-04-01      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X7CH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6124568 | PA      | $6230369.78   | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1541, Class O                                                                                       | CUSIP: 3133T0BX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3115 | PA      | $3102.76      | 0.00%             | 2023-07-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-20, Class QA                                                                                           | CUSIP: 38374MN88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6405 | PA      | $6390.82      | 0.00%             | 2036-02-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $41282216.50  | 0.13%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13814 | PA      | $13957.05     | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                                         | Viatris, Inc.                                                                                                            | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1732000 | PA      | $1126474.79   | 0.00%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class C                                                                        | CUSIP: 67571EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4908000 | PA      | $4713229.95   | 0.01%             | 2028-08-21      | Fixed         | 5.21%                 | Yes           |                  3 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                        | Elara HGV Timeshare Issuer LLC, Series 2017-A, Class B                                                                   | CUSIP: 28416DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1806698 | PA      | $1713637.42   | 0.01%             | 2030-03-25      | Fixed         | 2.96%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2033, Class SN                                                                                      | CUSIP: 3133TCX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3232 | PA      | $166.46       | 0.00%             | 2024-03-15      | Floating      | 25.62%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-165, Class SK                                                                                   | CUSIP: 31359D5S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1079 | PA      | $1093.29      | 0.00%             | 2023-09-25      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                     | LYB International Finance III LLC                                                                                        | CUSIP: 50249AAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4336000 | PA      | $3455505.87   | 0.01%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JR4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1907415 | PA      | $1973305.02   | 0.01%             | 2049-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDUX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11034000 | PA      | $10351662.41  | 0.03%             | 2026-06-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2517000 | PA      | $2331583.38   | 0.01%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-112, Class ST                                                                                   | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599972 | PA      | $51932.80     | 0.00%             | 2040-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA, Series X-R                                                                                                      | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   3145000 | PA      | $3097135.99   | 0.01%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1088884 | PA      | $1036629.60   | 0.00%             | 2039-01-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                     | OneSky Loan Trust, 1st Lien Term Loan, Series A, Class A                                                                 | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |  54995419 | PA      | $46723145.96  | 0.15%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1123426 | PA      | $1135802.51   | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                            | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AL0<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   4560000 | PA      | $4077244.56   | 0.01%             | 2030-07-22      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   7861000 | PA      | $6721347.12   | 0.02%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43243100 | PA      | $37349538.55  | 0.12%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522411 | PA      | $77973.69     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22150000 | PA      | $17889449.72  | 0.06%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                    | Regency Centers LP                                                                                                       | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |  10600000 | PA      | $8916584.53   | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   4150000 | PA      | $3804660.07   | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5685897 | PA      | $5062899.89   | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2055149 | PA      | $1653152.05   | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E1                                                                  | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  39825842 | PA      | $32564077.63  | 0.10%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  3 | On Loan: No      |
| Healthcare Realty Holdings LP                                         | Healthcare Realty Holdings LP                                                                                            | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $6076629.44   | 0.02%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760991 | PA      | $792308.81    | 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        |    128624 | PA      | $91634.45     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2133658 | PA      | $2184575.88   | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR3, Class E1                                                                   | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  50390000 | PA      | $44320509.38  | 0.14%             | 2039-04-17      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-178, Class PK                                                                                   | CUSIP: 31359D6L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1553 | PA      | $1555.03      | 0.00%             | 2023-09-25      | Fixed         | 6.50%                 | No            |                  2 | 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        |  56650000 | PA      | $49413262.75  | 0.15%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HYAR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5081000 | PA      | $3917939.79   | 0.01%             | 2035-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2015-K45, Class B                                                                           | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11025000 | PA      | $10529535.40  | 0.03%             | 2048-04-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90                                                                                              | CUSIP: 31394FVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28771 | PA      | $27340.47     | 0.00%             | 2035-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234805 | PA      | $30312.83     | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2019-A, Class A                                                                               | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4501694 | PA      | $4233475.85   | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Newcrest Finance Pty. Ltd.                                            | Newcrest Finance Pty. Ltd.                                                                                               | CUSIP: 65120FAD6<br>LEI: 549300I0XDZ4K7PDSS04 | Long             | DBT              | CORP              | AU        |   5845000 | PA      | $4936754.28   | 0.02%             | 2030-05-13      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Magellan Midstream Partners LP                                        | Magellan Midstream Partners LP                                                                                           | CUSIP: 559080AH9<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |   2338000 | PA      | $2232127.50   | 0.01%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-1, Class A                                                                         | CUSIP: 48249FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9143001 | PA      | $278989.54    | 0.00%             | 2032-10-25      | Variable      | 1.79%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128L3L79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104631 | PA      | $105067.63    | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $11736003.16  | 0.04%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| BayCare Health System, Inc.                                           | BayCare Health System, Inc., Series 2020                                                                                 | CUSIP: 072722AE1<br>LEI: 1H90SRZU22X0SF1UZR52 | Long             | DBT              | CORP              | US        |   9475000 | PA      | $7617629.68   | 0.02%             | 2050-11-15      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                            | Microchip Technology, Inc.                                                                                               | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   4701000 | PA      | $4447950.72   | 0.01%             | 2024-02-15      | Fixed         | 0.97%                 | 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        |    111134 | PA      | $101928.69    | 0.00%             | 2033-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class D                                                                         | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21000000 | PA      | $18154441.20  | 0.06%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31419ADA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26873 | PA      | $27185.28     | 0.00%             | 2025-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318176 | PA      | $333327.12    | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8B86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15826302 | PA      | $15068152.96  | 0.05%             | 2026-12-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433136 | PA      | $435709.46    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43000000 | PA      | $42378835.33  | 0.13%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20686 | PA      | $23995.08     | 0.00%             | 2032-02-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8213 | PA      | $8814.07      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158195 | PA      | $156430.44    | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-62, Class PS                                                                                    | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61690 | PA      | $75662.99     | 0.00%             | 2036-07-25      | Floating      | 15.80%                | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   6831000 | PA      | $4616680.87   | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                             | CUSIP: 279158AL3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |   5409000 | PA      | $5041593.68   | 0.02%             | 2026-06-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R007, Class ZA                                                                            | CUSIP: 31396NRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1717889 | PA      | $1776608.49   | 0.01%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 160035000 | PA      | $140305685.16 | 0.44%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty. Ltd.                                             | Ausgrid Finance Pty. Ltd.                                                                                                | CUSIP: 052113AB3<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   1500000 | PA      | $1399003.46   | 0.00%             | 2028-08-01      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                         | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |  18050000 | PA      | $14423019.64  | 0.05%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5771 | PA      | $5675.67      | 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        |   1148057 | PA      | $1047647.57   | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class TO                                                                                      | CUSIP: 31398LR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514147 | PA      | $412240.55    | 0.00%             | 2039-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-59, Class SU                                                                                    | CUSIP: 31394ETN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129860 | PA      | $129709.54    | 0.00%             | 2035-06-25      | Floating      | 5.42%                 | 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        |  23849458 | PA      | $22436599.67  | 0.07%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1528997 | PA      | $1554085.23   | 0.00%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 105395000 | PA      | $100281696.23 | 0.31%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2634 | PA      | $2838.22      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3890000 | PA      | $3564007.89   | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8600000 | PA      | $7367816.51   | 0.02%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                      | S&P Global, Inc.                                                                                                         | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |  13602000 | PA      | $11720695.82  | 0.04%             | 2032-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2410 | PA      | $2466.56      | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9155000 | PA      | $9066174.62   | 0.03%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2418, Class FO                                                                                      | CUSIP: 31339D2Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176432 | PA      | $177121.78    | 0.00%             | 2032-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391XJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258730 | PA      | $266429.28    | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-72, Class EK                                                                                    | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1804754 | PA      | $172000.81    | 0.00%             | 2037-07-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 111315000 | PA      | $107914674.05 | 0.34%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fn  aug32                                                             | Fn  aug32                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  14287000 | PA      | $14672963.92  | 0.05%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37156036 | PA      | $38384187.66  | 0.12%             | 2071-09-20      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077559 | PA      | $930952.42    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311492 | PA      | $316906.92    | 0.00%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-20, Class SA                                                                                    | CUSIP: 31359X4V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29349 | PA      | $846.02       | 0.00%             | 2030-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 569000000 | PA      | $539216406.25 | 1.68%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45683 | PA      | $38698.83     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1697 | PA      | $1694.75      | 0.00%             | 2027-02-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37282 | PA      | $39365.16     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G95-1, Class C                                                                                       | CUSIP: 31359LMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10823 | PA      | $11066.50     | 0.00%             | 2025-01-25      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4608290 | PA      | $4213314.19   | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class FC                                                                                    | CUSIP: 31396XB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162100 | PA      | $160078.33    | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fairways Tbird                                                        | Fairways Tbird                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  10066000 | PA      | $10234187.73  | 0.03%             | 2030-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507163 | PA      | $510716.40    | 0.00%             | 2035-01-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   9440000 | PA      | $8503841.81   | 0.03%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368208 | PA      | $385264.30    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142436 | PA      | $143568.29    | 0.00%             | 2040-07-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp., Series N                                                                                          | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6250000 | PA      | $5538110.06   | 0.02%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                                | Crossroads Asset Trust, Series 2021-A, Class A2                                                                          | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1010993 | PA      | $1001570.28   | 0.00%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2126, Class CB                                                                                      | CUSIP: 3133TJDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264001 | PA      | $268430.14    | 0.00%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6987829 | PA      | $7013144.53   | 0.02%             | 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        |    327869 | PA      | $339936.66    | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  17190000 | PA      | $13507600.49  | 0.04%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193197 | PA      | $191408.86    | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3151                                                                                                | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186984 | PA      | $150005.45    | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  15000000 | PA      | $13061418.60  | 0.04%             | 2032-06-19      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                            | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456580 | PA      | $383542.19    | 0.00%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                   | Buckeye Partners LP                                                                                                      | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |  11805000 | PA      | $8924875.13   | 0.03%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      9591 | PA      | $7752.20      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| International Flavors & Fragrances, Inc.                              | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   4346000 | PA      | $3743308.71   | 0.01%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2469000 | PA      | $2148334.90   | 0.01%             | 2032-04-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-92, Class YS                                                                                    | CUSIP: 31396XMZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155613 | PA      | $10841.47     | 0.00%             | 2037-06-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-9, Class CI                                                                                            | CUSIP: 38375JMV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706905 | PA      | $36082.13     | 0.00%             | 2037-03-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-2, Class A                                                                           | CUSIP: 68377HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  43053895 | PA      | $42646118.69  | 0.13%             | 2029-10-09      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-113, Class AO                                                                                   | CUSIP: 31398GWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215505 | PA      | $176400.94    | 0.00%             | 2040-01-25      | None          | 0.00%                 | 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        |    102696 | PA      | $96852.47     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  11100000 | PA      | $10155938.01  | 0.03%             | 2028-10-27      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107690 | PA      | $106315.02    | 0.00%             | 2036-09-01      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36207UDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1970 | PA      | $1969.61      | 0.00%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68749 | PA      | $71024.57     | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-32, Class PI                                                                                           | CUSIP: 383742YT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112326 | PA      | $1145.35      | 0.00%             | 2037-10-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    770000 | PA      | $744448.49    | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                                                                 | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818586 | PA      | $853663.53    | 0.00%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339142 | PA      | $8283.79      | 0.00%             | 2033-12-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Consumer Receivables Asset Investment Trust                           | Consumer Receivables Asset Investment Trust, Series 2021-1, Class A1Y                                                    | CUSIP: 21056K203<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6889212 | PA      | $6792749.17   | 0.02%             | 2023-03-24      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $8869332.84   | 0.03%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NYU Langone Hospitals                                                 | NYU Langone Hospitals, Series 2020                                                                                       | CUSIP: 62954RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9170000 | PA      | $6356238.59   | 0.02%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-135                                                                                             | CUSIP: 3136AHYP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518596 | PA      | $1978297.88   | 0.01%             | 2044-01-25      | None          | 0.00%                 | 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        |    319294 | PA      | $272784.01    | 0.00%             | 2034-06-25      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-42, Class SC                                                                                           | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897562 | PA      | $60803.58     | 0.00%             | 2039-06-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEPV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19377997 | PA      | $18553965.93  | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2015-K44, Class B                                                                           | CUSIP: 30292NAG8<br>LEI: 549300OFE1DNC7KO4K57 | Long             | ABS-MBS          | USGSE             | US        |    769334 | PA      | $732212.10    | 0.00%             | 2048-01-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                       | CoreVest American Finance Trust, Series 2019-2, Class C                                                                  | CUSIP: 21872GAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5526000 | PA      | $4693243.40   | 0.01%             | 2052-06-15      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-39, Class OT                                                                                    | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100019 | PA      | $81708.28     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   3831000 | PA      | $3516730.73   | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                       | Martin Marietta Materials, Inc.                                                                                          | CUSIP: 573284AX4<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |   4840000 | PA      | $3348190.03   | 0.01%             | 2051-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H04, Class SA                                                                                          | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1192422 | PA      | $1173618.45   | 0.00%             | 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        |     50244 | PA      | $43483.11     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-11, Class PS                                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80467 | PA      | $94968.08     | 0.00%             | 2036-03-25      | Floating      | 9.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4257, Class DZ                                                                                      | CUSIP: 3137B57H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6143385 | PA      | $5081204.47   | 0.02%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                            | Upstart Pass-Through Trust, Series 2021-ST2, Class A                                                                     | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3632264 | PA      | $3418888.58   | 0.01%             | 2027-04-20      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                               | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A1                                                                       | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183146 | PA      | $176142.35    | 0.00%             | 2035-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 31334Y2K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1249781 | PA      | $1155267.75   | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987308 | PA      | $1008559.42   | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7708000 | PA      | $7519399.96   | 0.02%             | 2024-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87759 | PA      | $15073.51     | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2925000 | PA      | $2824915.71   | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-35, Class ZB                                                                                           | CUSIP: 38374TP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9941687 | PA      | $10011868.25  | 0.03%             | 2039-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7015196 | PA      | $6602704.76   | 0.02%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  17530000 | PA      | $15127383.08  | 0.05%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412LW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200402 | PA      | $200106.47    | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3375301 | PA      | $3337515.54   | 0.01%             | 2063-03-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132L5L84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14483826 | PA      | $13306279.08  | 0.04%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                               | Crown Castle Towers LLC                                                                                                  | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9083836.00   | 0.03%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2005-14, Class A2                                                                | CUSIP: 12669GK67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83280 | PA      | $44961.51     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-47, Class MT                                                                                    | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9585 | PA      | $9985.92      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-4, Class 1A6                                                               | CUSIP: 57643MAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173042 | PA      | $165412.27    | 0.00%             | 2033-12-26      | Fixed         | 5.25%                 | 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        |     92363 | PA      | $85503.65     | 0.00%             | 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        |      2368 | PA      | $2375.24      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  16445000 | PA      | $12588483.05  | 0.04%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1737805.18   | 0.01%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                        | GTP Acquisition Partners I LLC                                                                                           | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11667000 | PA      | $11006857.81  | 0.03%             | 2025-06-16      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                        | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |  10500000 | PA      | $7196573.48   | 0.02%             | 2051-05-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2813591 | PA      | $2937968.80   | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | 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        |   2067188 | PA      | $1963617.91   | 0.01%             | 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        |     73255 | PA      | $70454.41     | 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        |     27528 | PA      | $28523.17     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342243 | PA      | $319060.04    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1983, Class Z                                                                                       | CUSIP: 3133TAXN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8787 | PA      | $8811.75      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92918 | PA      | $94571.50     | 0.00%             | 2036-01-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC, Series YYY                                                                                      | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   6895000 | PA      | $4790674.48   | 0.01%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $16525301.40  | 0.05%             | 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        |   2650352 | PA      | $2617602.18   | 0.01%             | 2063-01-20      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                       | Phillips 66 Co.                                                                                                          | CUSIP: 718547AJ1<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   8545000 | PA      | $7561536.98   | 0.02%             | 2029-12-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197401 | PA      | $204138.64    | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-52, Class NS                                                                                    | CUSIP: 31359W5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1706 | PA      | $1712.41      | 0.00%             | 2023-10-25      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K67, Class B                                                                           | CUSIP: 30300YAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7876825.05   | 0.02%             | 2049-09-25      | Variable      | 4.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31412CEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274096 | PA      | $282043.11    | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-118, Class A1                                                                                   | CUSIP: 31396L4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240805 | PA      | $239162.99    | 0.00%             | 2036-12-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12500000 | PA      | $10723435.38  | 0.03%             | 2032-03-01      | Fixed         | 2.40%                 | 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        |  38560000 | PA      | $35419395.97  | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   5620000 | PA      | $5067167.23   | 0.02%             | 2029-03-04      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   5062000 | PA      | $4106296.58   | 0.01%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Sky Ltd.                                                              | Sky Ltd.                                                                                                                 | CUSIP: 111013AL2<br>LEI: 2138003TS48MQKF4BZ29 | Long             | DBT              | CORP              | GB        |   1654000 | PA      | $1614694.69   | 0.01%             | 2024-09-16      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECG4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2992000 | PA      | $2937458.44   | 0.01%             | 2024-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36196RVC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3702460 | PA      | $3591808.55   | 0.01%             | 2048-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   3906000 | PA      | $3293978.63   | 0.01%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2014-M2, Class A2                                                                                      | CUSIP: 3136AJDU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5005698 | PA      | $4915491.23   | 0.02%             | 2023-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates  | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-6XS, Class A5A                         | CUSIP: 86359BJT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    154313 | PA      | $151299.21    | 0.00%             | 2034-03-25      | Variable      | 6.03%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272282 | PA      | $287081.04    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Equinor ASA                                                           | Equinor ASA                                                                                                              | CUSIP: 29446MAD4<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | NUSS              | NO        |   5765000 | PA      | $5544443.73   | 0.02%             | 2025-04-06      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18329170 | PA      | $17493663.77  | 0.05%             | 2026-12-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1996-48, Class Z                                                                                     | CUSIP: 31359KXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35909 | PA      | $36090.53     | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23376539 | PA      | $24139621.91  | 0.08%             | 2072-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K115, Class XAM                                         | CUSIP: 3137FWGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  44580829 | PA      | $4216200.70   | 0.01%             | 2030-07-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2022-3A, Class C                                                                             | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15250000 | PA      | $15287098.68  | 0.05%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47460 | PA      | $48112.02     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-28, Class EO                                                                                    | CUSIP: 31396VLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381579 | PA      | $314675.28    | 0.00%             | 2037-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   7254000 | PA      | $6716732.71   | 0.02%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WGFV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24469147 | PA      | $22992545.56  | 0.07%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2014-SFR2, Class B                                                                   | CUSIP: 02665UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2297691.12   | 0.01%             | 2036-10-17      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| State of Israel                                                       | Israel Government AID Bond                                                                                               | CUSIP: 465139VD2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | USGA              | IL        |   5000000 | PA      | $4568375.90   | 0.01%             | 2024-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36291MSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21973 | PA      | $22687.83     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gold Key Resorts LLC                                                  | Gold Key Resorts LLC, Series 2014-A, Class A                                                                             | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |    251486 | PA      | $246355.38    | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438245 | PA      | $366682.64    | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   5645000 | PA      | $3782994.94   | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4168588 | PA      | $3766808.84   | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                          | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   9235000 | PA      | $6651248.14   | 0.02%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WQ                                                                                     | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835841 | PA      | $664834.29    | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                      | Paramount Global                                                                                                         | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   2004000 | PA      | $1485305.50   | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                          | Discovery Communications LLC                                                                                             | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |  11160000 | PA      | $8630971.13   | 0.03%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15533729 | PA      | $14113258.09  | 0.04%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1628655 | PA      | $1645668.44   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series 20A                                                                               | CUSIP: 842400GY3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $1970851.98   | 0.01%             | 2051-02-01      | Fixed         | 2.95%                 | 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        |    160073 | PA      | $139864.73    | 0.00%             | 2034-04-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FB                                                                                          | CUSIP: 38376RRE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7734853 | PA      | $7675348.54   | 0.02%             | 2066-03-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16777 | PA      | $17170.17     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2331 | PA      | $2351.37      | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110769 | PA      | $120660.56    | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $3034674.52   | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10964000 | PA      | $9935126.73   | 0.03%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                                         | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12500000 | PA      | $10204876.25  | 0.03%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  3 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300056 | PA      | $4245989.16   | 0.01%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KTQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757076 | PA      | $650160.49    | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31414HWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135805 | PA      | $133164.57    | 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        |     76420 | PA      | $79016.02     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 412700000 | PA      | $355373390.63 | 1.11%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                                 | Seasoned Loans Structured Transaction, Series 2018-1, Class A1                                                           | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9466617 | PA      | $9077298.83   | 0.03%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7962870 | PA      | $7820362.83   | 0.02%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48381672 | PA      | $50836113.95  | 0.16%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241386 | PA      | $7851.04      | 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        |  19825000 | PA      | $19479483.95  | 0.06%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2842283 | PA      | $2813608.91   | 0.01%             | 2049-11-20      | 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        |   8100000 | PA      | $7799416.29   | 0.02%             | 2036-10-17      | Fixed         | 5.15%                 | Yes           |                  3 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  11406000 | PA      | $10039997.48  | 0.03%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                   | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |   3107000 | PA      | $2592947.75   | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6153629 | PA      | $5878797.02   | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   7220000 | PA      | $6738571.70   | 0.02%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 225000000 | PA      | $192928711.50 | 0.60%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109AS3<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   2243000 | PA      | $2080158.13   | 0.01%             | 2027-01-15      | Fixed         | 3.00%                 | 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        |  66332528 | PA      | $63599627.42  | 0.20%             | 2023-04-05      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                 | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2239000 | PA      | $2122841.44   | 0.01%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H07, Class MA                                                                                          | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8906 | PA      | $8732.05      | 0.00%             | 2062-04-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC, Series J                                                                              | CUSIP: 293791AT6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2509000 | PA      | $2454689.94   | 0.01%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-100, Class SM                                                                                   | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606634 | PA      | $61062.82     | 0.00%             | 2037-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                    | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2                                                             | CUSIP: 17310DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175605 | PA      | $152650.01    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3858 | PA      | $3948.42      | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-73, Class HC                                                                                    | CUSIP: 31393DB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418661 | PA      | $428032.71    | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2991000 | PA      | $2389004.45   | 0.01%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   9495000 | PA      | $6306108.24   | 0.02%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1887665 | PA      | $1923261.90   | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFFX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201946 | PA      | $205759.44    | 0.00%             | 2036-07-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86138 | PA      | $71885.18     | 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        |     29651 | PA      | $30225.16     | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class SA                                                                                   | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980924 | PA      | $107306.97    | 0.00%             | 2037-12-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  29628000 | PA      | $27470200.76  | 0.09%             | 2028-07-21      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617NYZF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21568260 | PA      | $20034694.62  | 0.06%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2064, Class TE                                                                                      | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8886 | PA      | $9258.62      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fomento Economico Mexicano SAB de CV                                  | Fomento Economico Mexicano SAB de CV                                                                                     | CUSIP: 344419AC0<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |  15000000 | PA      | $10650000.00  | 0.03%             | 2050-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                               | America Movil SAB de CV                                                                                                  | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |   8284000 | PA      | $7088453.12   | 0.02%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Boardwalk Pipelines LP                                                | Boardwalk Pipelines LP                                                                                                   | CUSIP: 096630AF5<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |   3425000 | PA      | $3275161.56   | 0.01%             | 2027-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252233 | PA      | $257274.39    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19629 | PA      | $20203.68     | 0.00%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2160988 | PA      | $2083855.84   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LMREC LLC                                                             | LMREC LLC, Series 2021-CRE4, Class A                                                                                     | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17348378 | PA      | $16946677.88  | 0.05%             | 2037-04-22      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                              | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |  12621000 | PA      | $8675920.50   | 0.03%             | 2050-12-01      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUER4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35900503 | PA      | $36998857.35  | 0.12%             | 2071-10-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                           | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AG6<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     48000 | PA      | $46708.78     | 0.00%             | 2025-12-21      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHCT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $21027040.98  | 0.07%             | 2032-09-01      | Fixed         | 3.89%                 | 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        |   1415000 | PA      | $1378047.98   | 0.00%             | 2052-10-17      | Fixed         | 6.07%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4667000 | PA      | $2603310.94   | 0.01%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-137, Class WA                                                                                          | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013708 | PA      | $1063158.68   | 0.00%             | 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        |     37413 | PA      | $35487.26     | 0.00%             | 2036-09-25      | Variable      | 3.57%                 | No            |                  3 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co.                                                                                                         | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |   1287000 | PA      | $1225155.92   | 0.00%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10573000 | PA      | $10366560.27  | 0.03%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221313 | PA      | $230971.43    | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-50, Class JO                                                                                    | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513833 | PA      | $424392.72    | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31410KLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       461 | PA      | $459.57       | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9MZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869401 | PA      | $1709174.98   | 0.01%             | 2035-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3136372P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42060698 | PA      | $40412598.00  | 0.13%             | 2028-09-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Headlands Residential LLC                                             | Headlands Residential LLC, Series 2021-RPL1, Class NOTE                                                                  | CUSIP: 42210JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $27975000.00  | 0.09%             | 2026-09-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    769000 | PA      | $808022.60    | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207143 | PA      | $205752.47    | 0.00%             | 2036-10-01      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FG                                                                                          | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750185 | PA      | $742507.10    | 0.00%             | 2063-05-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144619 | PA      | $148868.86    | 0.00%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   6470000 | PA      | $5506002.74   | 0.02%             | 2030-08-13      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2400000 | PA      | $2156590.32   | 0.01%             | 2026-04-18      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2197000 | PA      | $2246638.69   | 0.01%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25303 | PA      | $25761.46     | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326321 | PA      | $343632.99    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M3, Class A2                                                                                      | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15737793 | PA      | $14501315.85  | 0.05%             | 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        |      3697 | PA      | $3692.61      | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23990000 | PA      | $20505827.22  | 0.06%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9848000 | PA      | $9250856.57   | 0.03%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3202, Class HI                                                                                      | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2331645 | PA      | $217079.45    | 0.00%             | 2036-08-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4017476.46   | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318455 | PA      | $331812.30    | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11615000 | PA      | $11411816.71  | 0.04%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5196000 | PA      | $4715370.00   | 0.01%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136524 | PA      | $143660.87    | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series D                                                                                          | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1927000 | PA      | $1787575.90   | 0.01%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-23, Class EQ                                                                                    | CUSIP: 31392J6N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32430 | PA      | $32317.34     | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                           | Amgen, Inc.                                                                                                              | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   5870000 | PA      | $4513181.32   | 0.01%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17323000 | PA      | $16547282.99  | 0.05%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |  10965000 | PA      | $11746942.66  | 0.04%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10025000 | PA      | $9338322.29   | 0.03%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41796017 | PA      | $43088537.85  | 0.13%             | 2072-04-20      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFKE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231502 | PA      | $228646.61    | 0.00%             | 2037-05-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9BV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10894635.24  | 0.03%             | 2030-05-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639925 | PA      | $14145.41     | 0.00%             | 2037-11-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-2, Class A                                                             | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5194000 | PA      | $3993719.58   | 0.01%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3625000 | PA      | $3310521.28   | 0.01%             | 2052-08-15      | Fixed         | 5.95%                 | 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        |   7300000 | PA      | $7115109.25   | 0.02%             | 2036-10-17      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Boston Properties LP                                                  | Boston Properties LP                                                                                                     | CUSIP: 10112RAV6<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   3155000 | PA      | $3089892.63   | 0.01%             | 2023-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256369 | PA      | $251822.62    | 0.00%             | 2036-12-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class CI                                                                                          | CUSIP: 38380QAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40695137 | PA      | $2180730.30   | 0.01%             | 2070-05-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H7ME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4902123 | PA      | $4683652.99   | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13283940 | PA      | $12759692.26  | 0.04%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-6, Class 30PO                                                                  | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123631 | PA      | $90937.17     | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43376 | PA      | $44811.34     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-56, Class PZ                                                                                    | CUSIP: 31358U5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22948 | PA      | $22928.83     | 0.00%             | 2023-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67137 | PA      | $71346.64     | 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        |    135214 | PA      | $144752.00    | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Canaan Pte  aug32                                                     | Canaan Pte  aug32                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7193129.05   | 0.02%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                                         | Corning, Inc.                                                                                                            | CUSIP: 219350BK0<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   6270000 | PA      | $5852813.76   | 0.02%             | 2048-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307031 | PA      | $310914.22    | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6343989 | PA      | $5944671.49   | 0.02%             | 2027-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965425 | PA      | $93507.37     | 0.00%             | 2037-09-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                                           | Orange Lake Timeshare Trust, Series 2019-A, Class B                                                                      | CUSIP: 68504UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4840798 | PA      | $4550287.28   | 0.01%             | 2038-04-09      | Fixed         | 3.36%                 | Yes           |                  3 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   3477000 | PA      | $3170471.23   | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                            | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAK2<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   3051000 | PA      | $2929840.61   | 0.01%             | 2024-10-01      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134050 | PA      | $139085.48    | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5769815.70   | 0.02%             | 2032-09-01      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3978 | PA      | $4045.18      | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWB6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  18677000 | PA      | $17946721.64  | 0.06%             | 2027-01-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2019-78, Class SW                                                                                           | CUSIP: 38381WUP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8791347 | PA      | $520657.85    | 0.00%             | 2049-06-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415W3R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230554 | PA      | $242169.66    | 0.00%             | 2038-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766831 | PA      | $767396.93    | 0.00%             | 2039-12-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                              | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91099 | PA      | $74185.63     | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920022 | PA      | $894749.40    | 0.00%             | 2040-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2014-M13, Class A2                                                                                     | CUSIP: 3136ALYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5955033 | PA      | $5762056.76   | 0.02%             | 2024-08-25      | Variable      | 3.02%                 | 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        |  55300000 | PA      | $47504093.56  | 0.15%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2733, Class SB                                                                                      | CUSIP: 31394NUY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2325349 | PA      | $2192601.34   | 0.01%             | 2033-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-96, Class SC                                                                                           | CUSIP: 38374JG75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014871 | PA      | $1207.39      | 0.00%             | 2034-11-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9118070 | PA      | $8592204.55   | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAF0<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   2740000 | PA      | $2654512.82   | 0.01%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4984565.22   | 0.02%             | 2049-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |  13927000 | PA      | $12869826.50  | 0.04%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                       | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $1124221.37   | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SY                                                                                      | CUSIP: 31393LB28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113503 | PA      | $114648.35    | 0.00%             | 2032-12-15      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3018398 | PA      | $2908979.36   | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LYB International Finance BV                                          | LYB International Finance BV                                                                                             | CUSIP: 50247VAC3<br>LEI: 549300J6QSW38QNOJK61 | Long             | DBT              | CORP              | NL        |   3223000 | PA      | $2709389.36   | 0.01%             | 2044-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class A                                                                    | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7581894 | PA      | $6482468.90   | 0.02%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   9530000 | PA      | $7650015.28   | 0.02%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A1                                                                                     | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19517423 | PA      | $17992625.86  | 0.06%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                           | Aetna, Inc.                                                                                                              | CUSIP: 00817YAJ7<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   1777000 | PA      | $1530814.76   | 0.00%             | 2042-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1WZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8283588 | PA      | $8264519.99   | 0.03%             | 2049-05-20      | Fixed         | 4.50%                 | 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        |   2686589 | PA      | $103710.13    | 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        |    157054 | PA      | $125791.06    | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178808 | PA      | $187580.96    | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471556 | PA      | $486680.06    | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MT                                                             | CUSIP: 35563PSB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  51783766 | PA      | $42901203.67  | 0.13%             | 2060-05-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1B26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2393648 | PA      | $2385791.03   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1901000 | PA      | $1334420.22   | 0.00%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class FA                                                                                    | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203766 | PA      | $204062.31    | 0.00%             | 2038-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-18, Class MZ                                                                                    | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274621 | PA      | $276738.47    | 0.00%             | 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        |  13991942 | PA      | $13042703.76  | 0.04%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1737, Class L                                                                                       | CUSIP: 3133T5QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17034 | PA      | $17089.99     | 0.00%             | 2024-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35790 | PA      | $37317.73     | 0.00%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36300000 | PA      | $24521848.63  | 0.08%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2015-1, Class A                                                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   3689121 | PA      | $3328653.36   | 0.01%             | 2027-03-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1863, Class Z                                                                                       | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18735 | PA      | $18787.29     | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M4, Class A2                                                                                      | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23057714 | PA      | $21653884.26  | 0.07%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  85551124 | PA      | $88236000.31  | 0.28%             | 2072-02-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75120 | PA      | $73557.21     | 0.00%             | 2060-04-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-63, Class ZH                                                                                    | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    898663 | PA      | $950022.53    | 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        |    386105 | PA      | $391126.66    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417YD95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129240 | PA      | $129145.34    | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                        | Office Properties Income Trust                                                                                           | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15955000 | PA      | $11529242.87  | 0.04%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3433589 | PA      | $3370313.01   | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   5820000 | PA      | $4565498.71   | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OL SP LLC                                                             | OL SP LLC, Series 2018, Class A                                                                                          | CUSIP: 67090UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1379695 | PA      | $1353182.89   | 0.00%             | 2030-02-09      | Fixed         | 4.16%                 | 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        |   3200000 | PA      | $3088114.88   | 0.01%             | 2045-06-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Clark University                                                      | Clark University                                                                                                         | CUSIP: 18190CAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7000000 | PA      | $4849950.35   | 0.02%             | 2052-07-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class SK                                                                                      | CUSIP: 31393LAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2717 | PA      | $2707.66      | 0.00%             | 2023-09-15      | Floating      | 17.80%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-85, Class MZ                                                                                    | CUSIP: 31396KB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38803 | PA      | $40694.68     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392FG8<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    923000 | PA      | $743277.40    | 0.00%             | 2042-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                            | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBM0<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |   3050000 | PA      | $2538050.49   | 0.01%             | 2030-02-13      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates      | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-8, Class 1P                                | CUSIP: 15132EFF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16050 | PA      | $11110.79     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   9761000 | PA      | $9213439.14   | 0.03%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AV1<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |  12120000 | PA      | $9013044.54   | 0.03%             | 2033-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAN0<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   1354000 | PA      | $1231551.00   | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 166815000 | PA      | $124055624.66 | 0.39%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69541 | PA      | $64352.47     | 0.00%             | 2033-08-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149309 | PA      | $155528.85    | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125690 | PA      | $123065.15    | 0.00%             | 2037-02-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41205438 | PA      | $36837868.08  | 0.12%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H05, Class FB                                                                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1161191 | PA      | $1148944.01   | 0.00%             | 2060-12-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  28294000 | PA      | $24218054.92  | 0.08%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16506727 | PA      | $14141157.52  | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3051, Class DP                                                                                      | CUSIP: 31396CTQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41608 | PA      | $39721.38     | 0.00%             | 2025-10-15      | Floating      | 10.99%                | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5158446.14   | 0.02%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266314 | PA      | $263048.06    | 0.00%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211288 | PA      | $212539.44    | 0.00%             | 2037-07-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289101 | PA      | $298267.78    | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  22959000 | PA      | $21983242.50  | 0.07%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3684, Class CY                                                                                      | CUSIP: 31398QK30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949047 | PA      | $940882.37    | 0.00%             | 2025-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 144750000 | PA      | $98373457.76  | 0.31%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118853 | PA      | $104223.62    | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   4970000 | PA      | $4782545.27   | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-50, Class VZ                                                                                    | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1690659 | PA      | $1716952.75   | 0.01%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2018-1A, Class A2                                                                                   | CUSIP: 42772GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  11415662 | PA      | $10838312.73  | 0.03%             | 2048-09-20      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WA                                                                                    | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997997 | PA      | $1026021.25   | 0.00%             | 2040-03-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UFK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420777 | PA      | $427052.57    | 0.00%             | 2034-09-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-65, Class SA                                                                                           | CUSIP: 38374N3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610383 | PA      | $14309.52     | 0.00%             | 2036-11-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JR6D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462798 | PA      | $456814.86    | 0.00%             | 2036-06-01      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-56, Class TP                                                                                    | CUSIP: 31394D6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68379 | PA      | $65626.82     | 0.00%             | 2033-08-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |   1663000 | PA      | $1366829.15   | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W10, Class 2A                                                                 | CUSIP: 31396XD35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57710 | PA      | $57837.03     | 0.00%             | 2047-08-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2306, Class SE                                                                                      | CUSIP: 3133TSK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12400 | PA      | $478.60       | 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        |     19518 | PA      | $17636.40     | 0.00%             | 2033-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6133850 | PA      | $5773204.85   | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2                                         | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50460000 | PA      | $47730502.54  | 0.15%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                          | Park Aerospace Holdings Ltd.                                                                                             | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |  18247000 | PA      | $18156229.93  | 0.06%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85960 | PA      | $84736.47     | 0.00%             | 2035-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68678 | PA      | $69408.50     | 0.00%             | 2037-09-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAA6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1889000 | PA      | $1850568.24   | 0.01%             | 2023-10-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163594 | PA      | $171343.44    | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QT7C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44516 | PA      | $43747.68     | 0.00%             | 2035-08-01      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4825000 | PA      | $4626712.67   | 0.01%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3101, Class UZ                                                                                      | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    545898 | PA      | $573534.92    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SM                                                                                      | CUSIP: 31398CVX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69635 | PA      | $3212.44      | 0.00%             | 2039-05-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M1, Class A2                                                                                      | CUSIP: 3136AMKZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8105334 | PA      | $7763461.35   | 0.02%             | 2024-09-25      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |   4275000 | PA      | $3615904.65   | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| LifeStorage LP                                                        | LifeStorage LP                                                                                                           | CUSIP: 84610WAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8937000 | PA      | $8437237.33   | 0.03%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2571, Class FY                                                                                      | CUSIP: 31393L6N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192454 | PA      | $192564.18    | 0.00%             | 2032-12-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3316                                                                                                | CUSIP: 31397HKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183003 | PA      | $144801.27    | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313392 | PA      | $314324.63    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7895209 | PA      | $7590191.03   | 0.02%             | 2026-01-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 782087500 | PA      | $681699233.39 | 2.13%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880535 | PA      | $884777.70    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   3498000 | PA      | $3569648.59   | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | 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        |  27100000 | PA      | $24059824.44  | 0.08%             | 2054-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4911000 | PA      | $4818975.47   | 0.02%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934988 | PA      | $901938.80    | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994943 | PA      | $806346.68    | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  25865000 | PA      | $21465049.50  | 0.07%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2909 | PA      | $2935.08      | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09, Class IC                                                                                          | CUSIP: 38380QAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46384169 | PA      | $1740039.02   | 0.01%             | 2070-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50851 | PA      | $4178.66      | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |  24230000 | PA      | $19783818.02  | 0.06%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C                                                        | CUSIP: 826525AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4098471 | PA      | $3859154.27   | 0.01%             | 2037-07-20      | Fixed         | 3.51%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346528 | PA      | $345025.41    | 0.00%             | 2037-11-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| EQM Midstream Partners LP                                             | EQM Midstream Partners LP                                                                                                | CUSIP: 26885BAC4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $6949350.00   | 0.02%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L83S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11429474 | PA      | $10818090.83  | 0.03%             | 2027-02-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                 | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  25422000 | PA      | $22123768.28  | 0.07%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                    | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |  27925000 | PA      | $21170610.75  | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BB5<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   7880000 | PA      | $7173964.77   | 0.02%             | 2025-08-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                              | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2134893 | PA      | $1898598.04   | 0.01%             | 2028-07-07      | Fixed         | 3.10%                 | 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        |    796740 | PA      | $617533.93    | 0.00%             | 2035-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31416BXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32546 | PA      | $32385.99     | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  19270000 | PA      | $12308657.00  | 0.04%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8078724 | PA      | $8031501.96   | 0.03%             | 2064-01-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 266990266 | PA      | $235361752.61 | 0.74%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8167000 | PA      | $7711237.71   | 0.02%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  11110000 | PA      | $11026168.38  | 0.03%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174130 | PA      | $176196.12    | 0.00%             | 2037-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2106, Class ZD                                                                                      | CUSIP: 3133THDD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218849 | PA      | $222418.45    | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12587047 | PA      | $12421706.66  | 0.04%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57715 | PA      | $4777.29      | 0.00%             | 2032-02-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5655000 | PA      | $5347784.89   | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                                                             | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11989523 | PA      | $8585487.37   | 0.03%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A2                                                               | CUSIP: 31393YU60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750400 | PA      | $1800990.07   | 0.01%             | 2044-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  34443000 | PA      | $31248344.93  | 0.10%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95598 | PA      | $100754.52    | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403Q3S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14574 | PA      | $14894.60     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36203LAX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       376 | PA      | $376.79       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                             | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |   1046000 | PA      | $851433.11    | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Tri-State Generation and Transmission Association, Inc.               | Tri-State Generation and Transmission Association, Inc.                                                                  | CUSIP: 89566EAK4<br>LEI: 549300VDHNFNPADSSV98 | Long             | DBT              | CORP              | US        |   3222000 | PA      | $2474512.01   | 0.01%             | 2046-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15355000 | PA      | $14798805.36  | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-79, Class SB                                                                                    | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248224 | PA      | $272684.51    | 0.00%             | 2037-08-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3654, Class DC                                                                                      | CUSIP: 31398WV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4935735 | PA      | $4908997.98   | 0.02%             | 2030-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1343175 | PA      | $1323992.13   | 0.00%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class HO                                                                                           | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97252 | PA      | $87441.60     | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  41323000 | PA      | $38263169.46  | 0.12%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67648 | PA      | $63201.93     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6844000 | PA      | $5484034.44   | 0.02%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                              | Sierra Timeshare Receivables Funding LLC, Series 2022-1A, Class C                                                        | CUSIP: 82652TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5172009 | PA      | $4869418.82   | 0.02%             | 2038-10-20      | Fixed         | 3.94%                 | Yes           |                  3 | 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        |     45003 | PA      | $39919.57     | 0.00%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                            | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   9236000 | PA      | $7395977.48   | 0.02%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W2, Class 2A9                                                                        | CUSIP: 31392JAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309545 | PA      | $313271.61    | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7871000 | PA      | $7693554.13   | 0.02%             | 2032-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15670000 | PA      | $14045461.64  | 0.04%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXN30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109367 | PA      | $111771.72    | 0.00%             | 2028-12-01      | 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        |   2289671 | PA      | $196998.21    | 0.00%             | 2035-09-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3881000 | PA      | $3691566.92   | 0.01%             | 2035-03-15      | Fixed         | 4.55%                 | 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        |   4733717 | PA      | $472313.69    | 0.00%             | 2037-08-25      | Floating      | 1.61%                 | No            |                  3 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  31814000 | PA      | $35501826.39  | 0.11%             | 2036-04-01      | Fixed         | 5.88%                 | 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        |    231459 | PA      | $221978.01    | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class MF                                                                                   | CUSIP: 3136A3FE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694719 | PA      | $689192.32    | 0.00%             | 2041-11-25      | Floating      | 4.52%                 | 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        |     77981 | PA      | $70321.58     | 0.00%             | 2034-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   4399000 | PA      | $3148859.19   | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-72, Class SB                                                                                    | CUSIP: 31394EWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107526 | PA      | $111131.98    | 0.00%             | 2035-08-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059ENP5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3119000 | PA      | $2442193.03   | 0.01%             | 2028-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4935 | PA      | $4934.27      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2002-90, Class A1                                                                        | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318673 | PA      | $331889.74    | 0.00%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                      | PG&E Energy Recovery Funding LLC, Series A-2                                                                             | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9710000 | PA      | $7400216.17   | 0.02%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YDB2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6501799.71   | 0.02%             | 2045-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1717242 | PA      | $1774713.70   | 0.01%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1200000 | PA      | $988332.64    | 0.00%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33709000 | PA      | $22059976.59  | 0.07%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120213 | PA      | $123957.96    | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2709, Class PG                                                                                      | CUSIP: 31394LMM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141270 | PA      | $140473.21    | 0.00%             | 2023-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263465 | PA      | $276454.06    | 0.00%             | 2036-04-01      | 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        |    230998 | PA      | $193590.21    | 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        |    456964 | PA      | $435684.86    | 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        |   7512526 | PA      | $6703269.34   | 0.02%             | 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        |    692270 | PA      | $716503.60    | 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        |    544761 | PA      | $508772.80    | 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        |    822737 | PA      | $155393.80    | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BYW64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5431786 | PA      | $5362405.73   | 0.02%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347023 | PA      | $364095.04    | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 165840000 | PA      | $119761097.29 | 0.37%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45959156 | PA      | $39818457.11  | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27835 | PA      | $27224.83     | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K145, Class AM                                          | CUSIP: 3137H7YZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42900000 | PA      | $36523283.94  | 0.11%             | 2055-06-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AMB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6537419 | PA      | $6301150.11   | 0.02%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                          | Hilton Grand Vacations Trust, Series 2017-AA, Class A                                                                    | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757817 | PA      | $743652.89    | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   6205000 | PA      | $5006439.97   | 0.02%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MA                                                             | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11778846 | PA      | $11217798.06  | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Northern Trust Corp.                                                  | Northern Trust Corp.                                                                                                     | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   2762000 | PA      | $2510580.19   | 0.01%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405UVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25877 | PA      | $25384.44     | 0.00%             | 2034-11-01      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1918000 | PA      | $1817839.09   | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213342 | PA      | $211511.76    | 0.00%             | 2036-11-01      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                            | Charles Schwab Corp. (The)                                                                                               | CUSIP: 808513AU9<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1186035.74   | 0.00%             | 2028-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411326 | PA      | $411395.00    | 0.00%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                                 | Upstart Structured Pass-Through Trust, Series 2022-4A, Class A                                                           | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24721009 | PA      | $24551855.40  | 0.08%             | 2030-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-83, Class AP                                                                                           | CUSIP: 38374JVJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1073 | PA      | $1061.86      | 0.00%             | 2034-10-16      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-2A, Class A                                                                                 | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12778718 | PA      | $11479927.53  | 0.04%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236626 | PA      | $239352.37    | 0.00%             | 2037-07-01      | Variable      | 3.57%                 | 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        |    651237 | PA      | $651236.66    | 0.00%             | 2024-10-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954965 | PA      | $84314.32     | 0.00%             | 2037-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89600 | PA      | $91269.70     | 0.00%             | 2034-05-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95030 | PA      | $101704.73    | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                                          | Home RE Ltd., Series 2022-1, Class M1B                                                                                   | CUSIP: 43730GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   9350000 | PA      | $9078835.04   | 0.03%             | 2034-10-25      | Floating      | 7.02%                 | Yes           |                  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        |    293241 | PA      | $251455.88    | 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        |  11657000 | PA      | $11128302.59  | 0.03%             | 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        |     64852 | PA      | $65199.22     | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                               | Alexander Funding Trust                                                                                                  | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  27653000 | PA      | $26073514.84  | 0.08%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660673 | PA      | $60073.18     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAM5<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   3050000 | PA      | $2317238.78   | 0.01%             | 2046-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                             | HINNT LLC, Series 2022-A, Class C                                                                                        | CUSIP: 40486JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14478077 | PA      | $14127021.19  | 0.04%             | 2041-05-15      | Fixed         | 5.58%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2017-R1                                                                                          | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12138326 | PA      | $11227951.57  | 0.04%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBG2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5155000 | PA      | $5044167.50   | 0.02%             | 2026-01-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  11898000 | PA      | $11248811.81  | 0.04%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SN                                                                                           | CUSIP: 38375KB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780916 | PA      | $24927.45     | 0.00%             | 2037-07-20      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2003-1, Class APO                                                             | CUSIP: 949912AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11597 | PA      | $8542.43      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2854751.90   | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JGJR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1391495 | PA      | $1378505.60   | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31377UYB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15289000 | PA      | $14687631.04  | 0.05%             | 2028-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class 2A1                                                                                    | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8534413 | PA      | $7406240.13   | 0.02%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780868 | PA      | $862007.59    | 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        |     91711 | PA      | $94175.48     | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1608, Class L                                                                                       | CUSIP: 3133T1W81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34766 | PA      | $34882.79     | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8269 | PA      | $8217.94      | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2020-1A, Class A                                                                        | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |  21553262 | PA      | $20619473.50  | 0.06%             | 2040-07-16      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901334 | PA      | $884101.49    | 0.00%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-65, Class EY                                                                                    | CUSIP: 31394APL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108041 | PA      | $107165.75    | 0.00%             | 2024-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31295NZX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18868 | PA      | $18513.90     | 0.00%             | 2032-09-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSSZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23495000 | PA      | $22516105.73  | 0.07%             | 2029-01-01      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111168 | PA      | $108464.78    | 0.00%             | 2034-08-01      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 1999-4, Class ZB                                                                                            | CUSIP: 3837H1U90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316333 | PA      | $315599.93    | 0.00%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   3430000 | PA      | $3119349.67   | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3614, Class QB                                                                                      | CUSIP: 31398LKA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272700 | PA      | $269406.37    | 0.00%             | 2024-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                 | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   8568000 | PA      | $7221642.30   | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200WN31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20070 | PA      | $20520.43     | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64261800 | PA      | $59055590.43  | 0.18%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  11097000 | PA      | $9617088.88   | 0.03%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-1, Class WA                                                                                     | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240915 | PA      | $248546.71    | 0.00%             | 2040-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94576 | PA      | $92492.60     | 0.00%             | 2036-11-01      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 264, Class F1                                                                                      | CUSIP: 3128HXM85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5916544 | PA      | $5835485.47   | 0.02%             | 2042-07-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3720 | NC      | $3305313.00   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Evergy Metro, Inc.                                                    | Evergy Metro, Inc.                                                                                                       | CUSIP: 485134BM1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |   8968000 | PA      | $8623948.15   | 0.03%             | 2041-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1419175 | PA      | $1374410.32   | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  13160000 | PA      | $9873926.94   | 0.03%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |  13055000 | PA      | $11171636.48  | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                   | Take-Two Interactive Software, Inc.                                                                                      | CUSIP: 874054AE9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   4473000 | PA      | $4354068.30   | 0.01%             | 2024-03-28      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-106, Class US                                                                                   | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646459 | PA      | $674290.05    | 0.00%             | 2035-11-25      | Floating      | 9.84%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8614933 | PA      | $7356225.30   | 0.02%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-97, Class FB                                                                                    | CUSIP: 3136A72Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2203323 | PA      | $2156877.16   | 0.01%             | 2042-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20072 | PA      | $1748.23      | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67561 | PA      | $71283.70     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | 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        |  46923000 | PA      | $43559479.59  | 0.14%             | 2036-11-05      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128072 | PA      | $132665.62    | 0.00%             | 2037-09-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172300 | PA      | $177672.45    | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | 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        |     45467 | PA      | $21841.49     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K061, Class AM                                          | CUSIP: 3137BTUN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $19196954.00  | 0.06%             | 2026-11-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Comerica, Inc.                                                        | Comerica, Inc.                                                                                                           | CUSIP: 200340AT4<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |   8910000 | PA      | $8359762.86   | 0.03%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1207206 | PA      | $1200798.77   | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | 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        |   2283738 | PA      | $2250934.41   | 0.01%             | 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        |  43642000 | PA      | $41298424.60  | 0.13%             | 2024-11-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EJJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6681140 | PA      | $6594372.63   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12286625 | PA      | $11044914.40  | 0.03%             | 2071-12-20      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNE49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4036664 | PA      | $3878157.97   | 0.01%             | 2030-05-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 239, Class S30                                                                                     | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1476940 | PA      | $212081.66    | 0.00%             | 2036-08-15      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LTM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40842 | PA      | $40166.50     | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35231 | PA      | $28922.39     | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97591 | PA      | $98136.54     | 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        |  41328000 | PA      | $40555166.40  | 0.13%             | 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        |     96191 | PA      | $100173.96    | 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        |      6358 | PA      | $51.60        | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2005-A2, Class A1                                                         | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    486321 | PA      | $449085.39    | 0.00%             | 2035-02-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15361948 | PA      | $12035096.82  | 0.04%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108589 | PA      | $114630.79    | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9759107 | PA      | $9589670.85   | 0.03%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-134, Class ST                                                                                          | CUSIP: 38382JEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50730121 | PA      | $1110497.56   | 0.00%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                    | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  12395000 | PA      | $11439655.75  | 0.04%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408G4R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267811 | PA      | $265443.20    | 0.00%             | 2035-10-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2981, Class FA                                                                                      | CUSIP: 31395U5N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242039 | PA      | $239108.60    | 0.00%             | 2035-05-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-79, Class CS                                                                                           | CUSIP: 38375YNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    555279 | PA      | $510880.54    | 0.00%             | 2035-06-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   9695000 | PA      | $7114268.95   | 0.02%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1993-1, Class ZB                                                                           | CUSIP: 911760BX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81705 | PA      | $81600.47     | 0.00%             | 2023-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10962543 | PA      | $10819563.97  | 0.03%             | 2065-06-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45305610 | PA      | $2378544.51   | 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        |  15446190 | PA      | $14592183.67  | 0.05%             | 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        | 190873895 | PA      | $14355587.49  | 0.04%             | 2030-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8197 | PA      | $7388.95      | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  61226832 | PA      | $56279733.93  | 0.18%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-61, Class BH                                                                                    | CUSIP: 31397L4F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8237 | PA      | $8202.71      | 0.00%             | 2023-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BH6<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1852000 | PA      | $1929097.69   | 0.01%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4935587 | PA      | $4747544.83   | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | 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        |   1990216 | PA      | $1992159.40   | 0.01%             | 2044-10-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VYMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9178380 | PA      | $9375437.57   | 0.03%             | 2071-09-20      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-247, Class FE                                                                                   | CUSIP: 31359FP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2712 | PA      | $2716.30      | 0.00%             | 2023-12-25      | Floating      | 5.02%                 | 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        |    430485 | PA      | $398709.84    | 0.00%             | 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        |  42248999 | PA      | $39171125.63  | 0.12%             | 2026-01-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3029, Class SO                                                                                      | CUSIP: 31396AH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107514 | PA      | $95248.04     | 0.00%             | 2035-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M7, Class A2                                                                                      | CUSIP: 3136ANLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4831091 | PA      | $4620342.83   | 0.01%             | 2024-12-25      | Fixed         | 2.59%                 | 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        |  44768162 | PA      | $40425184.82  | 0.13%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   8311000 | PA      | $7332484.47   | 0.02%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-18, Class SP                                                                                    | CUSIP: 31396YXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127359 | PA      | $111599.11    | 0.00%             | 2038-03-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1466, Class PZ                                                                                      | CUSIP: 312914MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1544 | PA      | $1542.67      | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  13400000 | PA      | $9983927.68   | 0.03%             | 2032-11-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                             | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AH1<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |   5933000 | PA      | $5154293.75   | 0.02%             | 2030-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186465 | PA      | $40519.98     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44096220 | PA      | $45527168.51  | 0.14%             | 2072-03-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29973397 | PA      | $29485388.99  | 0.09%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    668000 | PA      | $430607.81    | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JRPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431352 | PA      | $430075.90    | 0.00%             | 2033-05-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185181 | PA      | $5219.59      | 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        |    292024 | PA      | $293289.88    | 0.00%             | 2036-06-01      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                                  | Physicians Realty LP                                                                                                     | CUSIP: 71951QAB8<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $1928784.08   | 0.01%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141361 | PA      | $139756.53    | 0.00%             | 2035-04-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |  10510000 | PA      | $8680669.02   | 0.03%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128MXST7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55752 | PA      | $56443.51     | 0.00%             | 2036-11-01      | 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        |    166165 | PA      | $167916.04    | 0.00%             | 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        | 116200000 | PA      | $111145300.00 | 0.35%             | 2024-02-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   8002000 | PA      | $7217823.52   | 0.02%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi HC Capital, Inc.                                           | Mitsubishi HC Capital, Inc.                                                                                              | CUSIP: 60682LAE2<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |   8350000 | PA      | $8128391.00   | 0.03%             | 2024-02-28      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                  | Westgate Resorts LLC, Series 2020-1A, Class B                                                                            | CUSIP: 96034LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15768693 | PA      | $15366518.53  | 0.05%             | 2034-03-20      | Fixed         | 3.96%                 | Yes           |                  3 | 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        |    490221 | PA      | $473436.07    | 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        |    330490 | PA      | $345272.77    | 0.00%             | 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        |    108485 | PA      | $90674.27     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3587000 | PA      | $5249846.27   | 0.02%             | 2029-01-15      | Fixed         | 2.50%                 | 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        |    238186 | PA      | $219447.65    | 0.00%             | 2037-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4197664 | PA      | $4208283.13   | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   5046000 | PA      | $4672471.72   | 0.01%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-H14, Class FC                                                                                          | CUSIP: 38375B3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701049 | PA      | $694226.73    | 0.00%             | 2063-06-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Lendingpoint SPE Trust                                                | Lendingpoint SPE Trust, Series 2020-VFN1, Class A1B                                                                      | CUSIP: 52607AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17940151 | PA      | $17940151.25  | 0.06%             | 2026-12-15      | Floating      | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494AZ6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4874880.40   | 0.02%             | 2034-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-71, Class AP                                                                                    | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37313 | PA      | $36980.40     | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4342000 | PA      | $4166563.66   | 0.01%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900867 | PA      | $888897.72    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HNPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4717340 | PA      | $4901637.14   | 0.02%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                   | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |  86272331 | PA      | $81069859.48  | 0.25%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1699, Class FC                                                                                      | CUSIP: 3133T4J72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       873 | PA      | $873.38       | 0.00%             | 2024-03-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4A45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151433 | PA      | $159142.78    | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  18779000 | PA      | $13624810.31  | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                    | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2036000 | PA      | $1941290.13   | 0.01%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67278000 | PA      | $63110582.03  | 0.20%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12470000 | PA      | $11078586.18  | 0.03%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174854 | PA      | $175297.80    | 0.00%             | 2036-09-01      | Variable      | 3.10%                 | No            |                  2 | 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        |    149972 | PA      | $123533.79    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   8210000 | PA      | $6796648.01   | 0.02%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LE4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9457094 | PA      | $8231561.65   | 0.03%             | 2031-10-01      | Fixed         | 2.50%                 | 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        |  16674861 | PA      | $16009562.48  | 0.05%             | 2031-02-25      | Variable      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| GE Capital International Funding Co. Unlimited Co.                    | GE Capital International Funding Co. Unlimited Co.                                                                       | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |  28574000 | PA      | $26969645.05  | 0.08%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235659 | PA      | $230923.94    | 0.00%             | 2037-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14180000 | PA      | $12849333.91  | 0.04%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2021-1, Class B                                                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12081000 | PA      | $9861995.75   | 0.03%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1817314.65   | 0.01%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ACR                                                                   | ACR                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  37000000 | PA      | $34502500.00  | 0.11%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2019-1A, Class D                                                             | CUSIP: 30167DAD9<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |   2595094 | PA      | $2589667.59   | 0.01%             | 2024-12-16      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138XMJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2449772 | PA      | $2360539.56   | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3150000 | PA      | $2959112.55   | 0.01%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25010 | PA      | $25827.53     | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  12950000 | PA      | $10581573.21  | 0.03%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| China Southern Power Grid International Finance BVI Co. Ltd.          | China Southern Power Grid International Finance BVI Co. Ltd.                                                             | CUSIP: 16892DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |  10625000 | PA      | $10126687.50  | 0.03%             | 2027-05-08      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HGBQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20768103 | PA      | $17884488.68  | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YLKF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15103784 | PA      | $14424532.92  | 0.05%             | 2052-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                            | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10088254.00  | 0.03%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   6593003 | PA      | $5307107.15   | 0.02%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  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        |   5713935 | PA      | $5604341.55   | 0.02%             | 2048-04-25      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2002-18                                                                          | CUSIP: 12669C7X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40431 | PA      | $28770.03     | 0.00%             | 2032-11-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5900000 | PA      | $4002271.90   | 0.01%             | 2043-01-21      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                    | Tricolor Auto Securitization Trust, Series 2022-1A, Class C                                                              | CUSIP: 89616BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3495000 | PA      | $3400429.14   | 0.01%             | 2025-08-15      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6585864 | PA      | $6464870.11   | 0.02%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                       | Blackstone Secured Lending Fund                                                                                          | CUSIP: 09261LAD0<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |  13980000 | PA      | $13817483.06  | 0.04%             | 2023-07-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410GH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       705 | PA      | $725.74       | 0.00%             | 2025-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-94, Class GK                                                                                    | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42547 | PA      | $44073.52     | 0.00%             | 2026-10-25      | Floating      | 13.17%                | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KSL1, Class B                                                                          | CUSIP: 30295VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10011000 | PA      | $9131065.14   | 0.03%             | 2025-11-25      | Variable      | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147054 | PA      | $148755.18    | 0.00%             | 2036-09-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| WILMA 7.951 27MAR29                                                   | WILMA 7.951 27MAR29                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |  35000000 | PA      | $35000000.00  | 0.11%             | 2029-03-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                             | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |   2575000 | PA      | $2542812.50   | 0.01%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class UC                                                                                    | CUSIP: 31395D5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93332 | PA      | $93187.34     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                              | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   7096000 | PA      | $6442728.47   | 0.02%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   6522000 | PA      | $5719804.24   | 0.02%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   6940000 | PA      | $5907711.44   | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCH2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   6115000 | PA      | $5795646.27   | 0.02%             | 2028-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                          | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $4887139.86   | 0.02%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1184000 | PA      | $1036525.10   | 0.00%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-90, Class ES                                                                                    | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138961 | PA      | $141479.68    | 0.00%             | 2035-10-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130447 | PA      | $132339.45    | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBM2<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   3830000 | PA      | $3201876.25   | 0.01%             | 2030-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   2426000 | PA      | $2211728.09   | 0.01%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                              | Independence Plaza Trust, Series 2018-INDP, Class A                                                                      | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36250000 | PA      | $33913397.50  | 0.11%             | 2035-07-10      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2021-B, Class A                                                                           | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38800000 | PA      | $33742082.44  | 0.11%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4490000 | PA      | $3696708.19   | 0.01%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CGP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2363 | PA      | $2369.99      | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   5955000 | PA      | $5449680.44   | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102317 | PA      | $107541.17    | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAUG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35487357 | PA      | $31965364.44  | 0.10%             | 2070-10-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3244000 | PA      | $3459911.56   | 0.01%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1994-37, Class L                                                                                     | CUSIP: 31359GP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11345 | PA      | $11361.62     | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6266000 | PA      | $6068504.26   | 0.02%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2434, Class ZA                                                                                      | CUSIP: 3133TVUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338492 | PA      | $345346.61    | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class WN                                                                                     | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3064747 | PA      | $305425.30    | 0.00%             | 2036-03-25      | Floating      | 2.68%                 | 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        |      3301 | PA      | $3101.46      | 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        |      5748 | PA      | $5724.33      | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                        | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   3901000 | PA      | $4203925.21   | 0.01%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                        | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1                                                                  | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238241 | PA      | $222284.38    | 0.00%             | 2034-07-25      | Floating      | 4.90%                 | No            |                  3 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class E                                                                   | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $9850827.80   | 0.03%             | 2038-03-17      | Fixed         | 3.40%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31406H7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99711 | PA      | $98213.60     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 248957000 | PA      | $223176335.04 | 0.70%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class DT                                                                                      | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2331903 | PA      | $2524564.85   | 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        |   1624137 | PA      | $1672077.21   | 0.01%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                     | LYB International Finance III LLC                                                                                        | CUSIP: 50249AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4468000 | PA      | $3351192.12   | 0.01%             | 2049-10-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38071 | PA      | $38651.26     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185767 | PA      | $167005.72    | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  17350000 | PA      | $14908593.36  | 0.05%             | 2027-08-10      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LFLE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60280000 | PA      | $49284780.92  | 0.15%             | 2034-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co., Series FFF                                                                                 | CUSIP: 797440BJ2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    973000 | PA      | $994912.14    | 0.00%             | 2037-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                                            | Anglo American Capital plc                                                                                               | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   3283000 | PA      | $3171788.38   | 0.01%             | 2024-09-11      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12550000 | PA      | $11959757.81  | 0.04%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                               | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                                                        | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15592809 | PA      | $6.24         | 0.00%             | 2049-01-15      | Variable      | 0.05%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3147                                                                                                | CUSIP: 31396NLC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310076 | PA      | $279199.26    | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617H9YZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8091064 | PA      | $8280470.33   | 0.03%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                                    | Evergy Metro, Inc.                                                                                                       | CUSIP: 485134BN9<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |   3255000 | PA      | $3239855.82   | 0.01%             | 2023-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1437981 | PA      | $1365402.37   | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | 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        |     10190 | PA      | $9744.81      | 0.00%             | 2033-11-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2916000 | PA      | $2910830.69   | 0.01%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1357730 | PA      | $1339324.91   | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90650 | PA      | $91980.13     | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-4, Class SD                                                                                     | CUSIP: 31396YEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2020748 | PA      | $150879.18    | 0.00%             | 2038-02-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Bank NA                                                   | Wells Fargo Bank NA                                                                                                      | CUSIP: 92976GAG6<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |   1720000 | PA      | $1756062.31   | 0.01%             | 2037-02-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40023 | PA      | $41063.15     | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                                  | Physicians Realty LP                                                                                                     | CUSIP: 71951QAA0<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4263725.84   | 0.01%             | 2027-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2720, Class PC                                                                                      | CUSIP: 31394MYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13451 | PA      | $13378.73     | 0.00%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eni USA, Inc.                                                         | Eni USA, Inc.                                                                                                            | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4040000 | PA      | $4324362.75   | 0.01%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |  16105000 | PA      | $13068783.13  | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23695 | PA      | $24274.07     | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | 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        |     54244 | PA      | $51554.32     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43337 | PA      | $46051.00     | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                            | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBJ7<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |   2000000 | PA      | $1837037.96   | 0.01%             | 2028-01-21      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3740, Class SB                                                                                      | CUSIP: 3137GARP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1091595 | PA      | $67933.57     | 0.00%             | 2040-10-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-43, Class FD                                                                                    | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283415 | PA      | $280763.41    | 0.00%             | 2040-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  10982000 | PA      | $10165946.58  | 0.03%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6734 | PA      | $6000.83      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3608, Class SC                                                                                      | CUSIP: 31398LQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436683 | PA      | $27943.54     | 0.00%             | 2039-12-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                 | Nissan Motor Co. Ltd.                                                                                                    | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |  13000000 | PA      | $11286662.66  | 0.04%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  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        |  63135556 | PA      | $56180599.63  | 0.18%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7135000 | PA      | $6627660.40   | 0.02%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1892046.46   | 0.01%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3981186 | PA      | $3894572.40   | 0.01%             | 2032-07-01      | Fixed         | 4.13%                 | 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        |  29800000 | PA      | $24342231.32  | 0.08%             | 2031-12-25      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |  11110000 | PA      | $7940479.87   | 0.02%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3860, Class PZ                                                                                      | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11779321 | PA      | $11863474.61  | 0.04%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                    | Republic of Panama                                                                                                       | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   5100000 | PA      | $3929550.00   | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48740000 | PA      | $40200859.23  | 0.13%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2007-W5                                                                            | CUSIP: 31396WLK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110560 | PA      | $86179.33     | 0.00%             | 2037-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |  10980000 | PA      | $8504671.76   | 0.03%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2802, Class OH                                                                                      | CUSIP: 31394YPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392769 | PA      | $399825.88    | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1758000 | PA      | $1604601.72   | 0.01%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94547 | PA      | $93393.75     | 0.00%             | 2061-05-20      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2967, Class S                                                                                       | CUSIP: 31395TC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22345 | PA      | $20245.70     | 0.00%             | 2025-04-15      | Floating      | 12.52%                | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |  28858000 | PA      | $25342293.06  | 0.08%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  12150000 | PA      | $10469715.02  | 0.03%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Stanwich Mortgage Loan Co. LLC                                        | Stanwich Mortgage Loan Co. LLC, Series 2021-NPB1, Class A1                                                               | CUSIP: 85501YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24089934 | PA      | $21353136.98  | 0.07%             | 2026-10-16      | Variable      | 2.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276470 | PA      | $286783.38    | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704625 | PA      | $739937.19    | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                          | Southern Natural Gas Co. LLC                                                                                             | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2103000 | PA      | $2317319.93   | 0.01%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31414UW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696992 | PA      | $719457.30    | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 035240AP5<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   9838000 | PA      | $8991340.34   | 0.03%             | 2058-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2016000 | PA      | $2017180.37   | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   8995000 | PA      | $7778634.75   | 0.02%             | 2026-12-14      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Boston Scientific Corp.                                               | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   5011000 | PA      | $4522184.82   | 0.01%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 2A4                                                                        | CUSIP: 31393BU52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1863623 | PA      | $1848664.24   | 0.01%             | 2042-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5960000 | PA      | $6021168.79   | 0.02%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                     | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAL7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |   2576000 | PA      | $2575996.42   | 0.01%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2772460.00   | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAC7<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   5540000 | PA      | $4291167.44   | 0.01%             | 2049-10-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H08, Class FC                                                                                          | CUSIP: 38375UVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30087716 | PA      | $29728757.92  | 0.09%             | 2065-03-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110049000 | PA      | $104451976.09 | 0.33%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38079 | PA      | $37414.67     | 0.00%             | 2062-07-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                                         | BAT International Finance plc                                                                                            | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  11000000 | PA      | $9750717.02   | 0.03%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-102, Class PN                                                                                   | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1372920 | PA      | $1374227.04   | 0.00%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                    | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   6820000 | PA      | $5792917.34   | 0.02%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGMA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217705 | PA      | $218023.19    | 0.00%             | 2037-02-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   3361000 | PA      | $3157954.49   | 0.01%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2283, Class K                                                                                       | CUSIP: 3133TRJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9726 | PA      | $9738.48      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 3138LYTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489771 | PA      | $479596.57    | 0.00%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                          | Barclays plc                                                                                                             | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  21420000 | PA      | $21064440.64  | 0.07%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                   | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |  11530000 | PA      | $7295724.07   | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                          | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    830000 | PA      | $676271.38    | 0.00%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-17, Class EQ                                                                                    | CUSIP: 31392JK65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11270 | PA      | $11230.94     | 0.00%             | 2023-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NUBP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179367 | PA      | $177024.92    | 0.00%             | 2036-10-01      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class NT                                                                                   | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3979381 | PA      | $4229267.41   | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cleveland Electric Illuminating Co. (The)                             | Cleveland Electric Illuminating Co. (The)                                                                                | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | PA      | $847389.12    | 0.00%             | 2036-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2004-W10, Class A6                                                                 | CUSIP: 31394ALV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2226566 | PA      | $2239520.92   | 0.01%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   6890000 | PA      | $4947592.97   | 0.02%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-69, Class QD                                                                                           | CUSIP: 38375XRK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300174 | PA      | $300856.58    | 0.00%             | 2038-07-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34881 | PA      | $37207.17     | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  31110000 | PA      | $23929821.33  | 0.07%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class AM                                          | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $18060691.30  | 0.06%             | 2027-12-25      | Variable      | 3.50%                 | 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        |     80506 | PA      | $81360.62     | 0.00%             | 2042-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 96145DAF2<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |   7570000 | PA      | $7297757.06   | 0.02%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-58, Class MB                                                                                    | CUSIP: 31398RYR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3703878 | PA      | $3734099.18   | 0.01%             | 2040-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAZ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3649224.05   | 0.01%             | 2043-10-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 218300000 | PA      | $195335863.83 | 0.61%             | 2029-02-28      | Fixed         | 1.88%                 | 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        |  95724615 | PA      | $95724615.00  | 0.30%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337S3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 122788000 | PA      | $83818838.75  | 0.26%             | 2032-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297APY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275427 | PA      | $278758.48    | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  16739000 | PA      | $14479970.68  | 0.05%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223521 | PA      | $1176055.04   | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                      | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   6540000 | PA      | $6337351.17   | 0.02%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96806 | PA      | $100755.49    | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44488851 | PA      | $46398336.31  | 0.14%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1164318 | PA      | $1290536.11   | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                                    | MDC Holdings, Inc.                                                                                                       | CUSIP: 552676AT5<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8067259.10   | 0.03%             | 2030-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61407 | PA      | $63515.30     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7755 | PA      | $7912.61      | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vornado Realty LP                                                     | Vornado Realty LP                                                                                                        | CUSIP: 929043AJ6<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |   4810000 | PA      | $4481568.87   | 0.01%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H15                                                                                                    | CUSIP: 38380QJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44611058 | PA      | $2850651.05   | 0.01%             | 2070-08-20      | Variable      | 0.72%                 | 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        |     13074 | PA      | $8949.27      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Homeward Opportunities Fund Trust                                     | Homeward Opportunities Fund Trust, Series 2020-BPL1, Class A1                                                            | CUSIP: 43789YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16024468 | PA      | $15976897.63  | 0.05%             | 2025-08-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2968, Class EH                                                                                      | CUSIP: 31395RQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4814572 | PA      | $4899416.15   | 0.02%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2929, Class MS                                                                                      | CUSIP: 31395MB65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191253 | PA      | $172488.28    | 0.00%             | 2035-02-15      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M11, Class A2                                                                                     | CUSIP: 3136AT5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  96850000 | PA      | $89667168.18  | 0.28%             | 2026-07-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2475, Class S                                                                                       | CUSIP: 31392RB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286479 | PA      | $29886.41     | 0.00%             | 2032-02-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161579 | PA      | $163171.42    | 0.00%             | 2034-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| TCN LLC                                                               | TCN LLC                                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6250000 | PA      | $6093750.00   | 0.02%             | 2026-04-15      | Fixed         | 3.95%                 | No            |                  3 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1324242 | PA      | $1135580.50   | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | 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        |    220479 | PA      | $208901.41    | 0.00%             | 2034-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   8085000 | PA      | $7741055.45   | 0.02%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357768 | PA      | $360719.95    | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Baxalta, Inc.                                                         | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |    327000 | PA      | $310966.26    | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9350000 | PA      | $7040759.72   | 0.02%             | 2042-04-22      | Variable      | 3.22%                 | 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        |  16700000 | PA      | $13969882.33  | 0.04%             | 2038-04-19      | Fixed         | 2.55%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  73228076 | PA      | $62854993.17  | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | 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        |   1914675 | PA      | $1887113.89   | 0.01%             | 2036-06-27      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24492 | PA      | $25256.81     | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLQX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19586651 | PA      | $18273603.96  | 0.06%             | 2027-12-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                       | Nordea Bank Abp                                                                                                          | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  13130000 | PA      | $13180639.65  | 0.04%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280DK2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4950000 | PA      | $4870327.32   | 0.02%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2014-CR19, Class A5                                                                    | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13800000 | PA      | $13295473.38  | 0.04%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                            | Charles Schwab Corp. (The)                                                                                               | CUSIP: 808513AQ8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   5710000 | PA      | $5396430.38   | 0.02%             | 2027-03-02      | Fixed         | 3.20%                 | 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        |    121859 | PA      | $116029.68    | 0.00%             | 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        |    153294 | PA      | $166702.91    | 0.00%             | 2032-02-15      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                              | Marathon Petroleum Corp.                                                                                                 | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   8270000 | PA      | $8661482.37   | 0.03%             | 2041-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1575159.47   | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | 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        |     18695 | PA      | $19005.77     | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                      | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  60885000 | PA      | $58221543.06  | 0.18%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  14885000 | PA      | $10140594.99  | 0.03%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  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        |    709703 | PA      | $652430.67    | 0.00%             | 2033-12-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10750000 | PA      | $8139030.97   | 0.03%             | 2032-02-11      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H26, Class JA                                                                                          | CUSIP: 38375BYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19555 | PA      | $19164.07     | 0.00%             | 2061-10-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171554 | PA      | $174236.63    | 0.00%             | 2037-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   7315000 | PA      | $7045575.68   | 0.02%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42374 | PA      | $41216.97     | 0.00%             | 2035-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  11274000 | PA      | $9469970.48   | 0.03%             | 2030-09-13      | Variable      | 2.87%                 | 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        |    157575 | PA      | $153344.46    | 0.00%             | 2042-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-82                                                                                                     | CUSIP: 38374MBR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154898 | PA      | $129150.30    | 0.00%             | 2035-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-1, Class SD                                                                                     | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72928 | PA      | $122677.32    | 0.00%             | 2037-02-25      | Floating      | 14.90%                | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2017-2, Class A                                                             | CUSIP: 02377CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8449530 | PA      | $6555249.19   | 0.02%             | 2029-10-15      | Fixed         | 3.60%                 | 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        |  22159192 | PA      | $20740569.68  | 0.06%             | 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        |    492053 | PA      | $491392.24    | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust        | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P                                 | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223 | PA      | $168.18       | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                    | Wells Fargo Alternative Loan Trust, Series 2007-PA3, Class 1A2                                                           | CUSIP: 94985GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103364 | PA      | $79085.89     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79834 | PA      | $79874.97     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                               | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1589490.79   | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-78, Class BZ                                                                                    | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88695 | PA      | $93248.67     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138MSDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3440137 | PA      | $3099317.12   | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   6745000 | PA      | $6338147.47   | 0.02%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459282 | PA      | $462243.47    | 0.00%             | 2036-09-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   5000000 | PA      | $4503330.75   | 0.01%             | 2034-04-02      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Mexico City Airport Trust                                             | Mexico City Airport Trust                                                                                                | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1048000 | PA      | $770280.00    | 0.00%             | 2047-07-31      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Alleghany Corp.                                                       | Alleghany Corp.                                                                                                          | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |   6381000 | PA      | $5928077.07   | 0.02%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LASW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3482003 | PA      | $3207179.56   | 0.01%             | 2035-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-3                                                                                     | CUSIP: 78433LAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7950000 | PA      | $5088140.48   | 0.02%             | 2043-11-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25231 | PA      | $25710.46     | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21390 | PA      | $21895.40     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2005-RF3, Class 1A                                                             | CUSIP: 86359DMC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405319 | PA      | $373657.43    | 0.00%             | 2035-06-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23374 | PA      | $19876.76     | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 149800000 | PA      | $103235380.05 | 0.32%             | 2032-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A9FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2624978 | PA      | $2253843.49   | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  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        |    241254 | PA      | $229900.45    | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  17888000 | PA      | $16393491.77  | 0.05%             | 2028-03-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40550000 | PA      | $38928696.24  | 0.12%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    707295 | PA      | $51712.73     | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAM5<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |   2811000 | PA      | $2718591.19   | 0.01%             | 2025-05-18      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                                   | Union Pacific Corp.                                                                                                      | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |   1962000 | PA      | $1592739.75   | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-97, Class SA                                                                                           | CUSIP: 38374EVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295208 | PA      | $9280.91      | 0.00%             | 2033-11-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 313615TX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       309 | PA      | $308.87       | 0.00%             | 2024-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                      | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1                                                             | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623033 | PA      | $593502.18    | 0.00%             | 2030-06-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAH8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   5835000 | PA      | $5339025.00   | 0.02%             | 2029-04-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  11682000 | PA      | $7899952.50   | 0.02%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L74G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5125624 | PA      | $4759378.65   | 0.01%             | 2034-11-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-1, Class G                                                                                      | CUSIP: 31392BWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8880 | PA      | $8864.02      | 0.00%             | 2023-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8688000 | PA      | $7571097.48   | 0.02%             | 2027-01-26      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-70, Class Z                                                                                     | CUSIP: 31396WRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645909 | PA      | $656881.63    | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MultiCare Health System                                               | MultiCare Health System                                                                                                  | CUSIP: 62548LAA0<br>LEI: 549300OSCVFLGLKTTI33 | Long             | DBT              | CORP              | US        |   7935000 | PA      | $4795157.79   | 0.01%             | 2050-08-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                               | Mercedes-Benz Finance North America LLC                                                                                  | CUSIP: 233851BW3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1150777.98   | 0.00%             | 2025-05-19      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63293 | PA      | $59028.95     | 0.00%             | 2034-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H18, Class NA                                                                                          | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612926 | PA      | $607785.19    | 0.00%             | 2062-08-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y92F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12780678 | PA      | $12205920.45  | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7118390 | PA      | $7019200.65   | 0.02%             | 2065-06-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92847 | PA      | $98852.94     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                       | Universal Health Services, Inc.                                                                                          | CUSIP: 913903AV2<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1622000 | PA      | $1296772.93   | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H02, Class MI                                                                                          | CUSIP: 38380LW58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41995430 | PA      | $1638325.71   | 0.01%             | 2070-01-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2019-1A, Class A                                                                        | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |   5893174 | PA      | $5760537.79   | 0.02%             | 2034-11-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| INVH                                                                  | INVH                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  35000000 | PA      | $34125000.00  | 0.11%             | 2024-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3523, Class SD                                                                                      | CUSIP: 31398CGJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112558 | PA      | $105407.70    | 0.00%             | 2036-06-15      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7765117 | PA      | $7502762.23   | 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        |   1071295 | PA      | $868224.84    | 0.00%             | 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        |   1031302 | PA      | $1061992.93   | 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        |    157356 | PA      | $14529.00     | 0.00%             | 2037-01-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32039227 | PA      | $30263892.23  | 0.09%             | 2028-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                | Santander Drive Auto Receivables Trust, Series 2022-7, Class C                                                           | CUSIP: 80287FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13325000 | PA      | $13427189.43  | 0.04%             | 2031-03-17      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2903, Class Z                                                                                       | CUSIP: 31395KQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60618 | PA      | $61113.86     | 0.00%             | 2024-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  26002000 | PA      | $18918578.58  | 0.06%             | 2035-08-12      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   6600000 | PA      | $6126784.29   | 0.02%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                            | Microchip Technology, Inc.                                                                                               | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   5058000 | PA      | $4676641.57   | 0.01%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 2                                                 | Scentre Group Trust 2                                                                                                    | CUSIP: 76025LAB0<br>LEI: 549300VRF0U0JH8TBJ74 | Long             | DBT              | CORP              | AU        |  10425000 | PA      | $8424362.54   | 0.03%             | 2080-09-24      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9120327.00   | 0.03%             | 2053-01-25      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                          | Goodman US Finance Three LLC                                                                                             | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5157000 | PA      | $4690913.90   | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                           | Ohio State University (The), General Receipts, Series 2011-A                                                             | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   9576000 | PA      | $8155102.59   | 0.03%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LC5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9225000 | PA      | $7318115.01   | 0.02%             | 2033-08-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| New York State Electric & Gas Corp.                                   | New York State Electric & Gas Corp.                                                                                      | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |   2326000 | PA      | $2186996.59   | 0.01%             | 2026-12-01      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-165, Class SD                                                                                   | CUSIP: 31359D4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       865 | PA      | $844.44       | 0.00%             | 2023-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3200000 | PA      | $3176683.94   | 0.01%             | 2024-03-15      | Variable      | 3.89%                 | Yes           |                  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        |  17877074 | PA      | $16647543.95  | 0.05%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| County of Franklin OH                                                 | County of Franklin, Hospital Facilities, Nationwide Children's Hospital Project                                          | CUSIP: 353187EV5<br>LEI: 549300VCBUC1RZE7KL42 | Long             | DBT              | MUN               | US        |   4675000 | PA      | $2903832.31   | 0.01%             | 2050-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                   | Realty Income Corp.                                                                                                      | CUSIP: 756109BF0<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   4230000 | PA      | $4251026.44   | 0.01%             | 2026-06-01      | Fixed         | 4.88%                 | 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        |     65834 | PA      | $62402.23     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2020-1A, Class C                                                               | CUSIP: 22534GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25115000 | PA      | $24685224.59  | 0.08%             | 2029-06-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-42, Class S                                                                                     | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295277 | PA      | $18491.98     | 0.00%             | 2040-05-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Reference REMIC, Series R006, Class ZA                                                                            | CUSIP: 31396JT21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1296502 | PA      | $1355468.80   | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class B                                                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1849281 | PA      | $1665693.16   | 0.01%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15029 | PA      | $15495.58     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918BC7<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   3459000 | PA      | $3215558.38   | 0.01%             | 2035-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3453, Class B                                                                                       | CUSIP: 31397THP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83052 | PA      | $83666.63     | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9615000 | PA      | $8424903.38   | 0.03%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class ES                                                                                   | CUSIP: 31396LT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16896 | PA      | $18290.29     | 0.00%             | 2036-12-25      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31418MMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       392 | PA      | $396.96       | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                       | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9300000 | PA      | $7220431.09   | 0.02%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SART                                                                  | SART                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  11974708 | PA      | $11838196.76  | 0.04%             | 2025-06-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404J3N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441953 | PA      | $448313.55    | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G93-37, Class H                                                                                      | CUSIP: 31359E2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $55.18        | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24989 | PA      | $25738.06     | 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        | 148626108 | PA      | $13484980.58  | 0.04%             | 2033-11-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BKW1                                                             | CUSIP: 12529YBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14340000 | PA      | $11896722.12  | 0.04%             | 2026-01-29      | Variable      | 1.68%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3793, Class AB                                                                                      | CUSIP: 3137A5DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259824 | PA      | $1233422.28   | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3704, Class CT                                                                                      | CUSIP: 3137A0XM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5524961 | PA      | $5917952.83   | 0.02%             | 2036-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H09                                                                                                    | CUSIP: 38380QBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44884747 | PA      | $2253209.79   | 0.01%             | 2070-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416BKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136366 | PA      | $144730.60    | 0.00%             | 2035-01-01      | Fixed         | 7.50%                 | No            |                  2 | 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        |   7295466 | PA      | $6911136.13   | 0.02%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1995-2, Class Z                                                                                      | CUSIP: 31359LMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3741 | PA      | $3806.11      | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                       | Virginia Electric and Power Co., Series A                                                                                | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2201582.65   | 0.01%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR3, Class D                                                                                    | CUSIP: 66981YAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22000000 | PA      | $19151514.80  | 0.06%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  3 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2022-SFR1, Class E1                                                                                   | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28018000 | PA      | $24647975.35  | 0.08%             | 2039-03-17      | Fixed         | 4.39%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 218, Class 2                                                                                        | CUSIP: 31364HVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $1.34         | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H10, Class FC                                                                                          | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25701063 | PA      | $25364901.03  | 0.08%             | 2065-04-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NMK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60698 | PA      | $62058.00     | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1409963 | PA      | $1362147.82   | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   3677000 | PA      | $3921558.63   | 0.01%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                | GSK Consumer Healthcare Capital US LLC                                                                                   | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   9210000 | PA      | $8343885.80   | 0.03%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2022-2A, Class A                                                                                       | CUSIP: 31568EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  41794090 | PA      | $41339479.35  | 0.13%             | 2027-12-15      | Fixed         | 6.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68949 | PA      | $58277.47     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10600000 | PA      | $9427582.65   | 0.03%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-57, Class 1A3                                          | CUSIP: 31394JDA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326793 | PA      | $353869.85    | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52455 | PA      | $51527.34     | 0.00%             | 2034-08-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-60, Class JC                                                                                    | CUSIP: 31397LJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218298 | PA      | $217157.41    | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2306, Class K                                                                                       | CUSIP: 3133TSJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5183 | PA      | $5038.28      | 0.00%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3608044 | PA      | $3626391.92   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617FBML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29384922 | PA      | $30770153.36  | 0.10%             | 2072-07-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |  14745000 | PA      | $11552758.52  | 0.04%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Prudential Insurance Co. of America (The)                             | Prudential Insurance Co. of America (The)                                                                                | CUSIP: 743917AH9<br>LEI: X574KRZ6V5A7UBU45C31 | Long             | DBT              | CORP              | US        |  10349000 | PA      | $10999933.47  | 0.03%             | 2025-07-01      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| John Hancock Life Insurance Co.                                       | John Hancock Life Insurance Co.                                                                                          | CUSIP: 41020VAA9<br>LEI: 5493007TRSDJMZ8TBY32 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1020669.20   | 0.00%             | 2024-02-15      | Fixed         | 7.38%                 | Yes           |                  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        |  24283624 | PA      | $21500960.98  | 0.07%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                                  | Steel Dynamics, Inc.                                                                                                     | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |   3519000 | PA      | $2286462.16   | 0.01%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-5A, Class C                                                             | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8584482.16   | 0.03%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1253524 | PA      | $1179251.20   | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                               | United Auto Credit Securitization Trust, Series 2022-2, Class C                                                          | CUSIP: 90944KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1927000 | PA      | $1894428.50   | 0.01%             | 2027-05-10      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4518 | PA      | $4619.74      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF Trust                                                             | FHF Trust, Series 2021-1A, Class A                                                                                       | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6900794 | PA      | $6589134.61   | 0.02%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1491000 | PA      | $1436042.68   | 0.00%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H19, Class FE                                                                                          | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11843110 | PA      | $11688260.45  | 0.04%             | 2064-09-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                   | NatWest Markets plc                                                                                                      | CUSIP: 63906YAD0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  31620000 | PA      | $27379293.50  | 0.09%             | 2026-09-29      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406GDY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53726 | PA      | $52559.09     | 0.00%             | 2035-01-01      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8261276 | PA      | $7657521.31   | 0.02%             | 2026-12-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Chevron USA, Inc.                                                     | Chevron USA, Inc.                                                                                                        | CUSIP: 166756AQ9<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1477995.40   | 0.00%             | 2027-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3846639 | PA      | $3608523.60   | 0.01%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HEDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1136720 | PA      | $1100838.07   | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6L80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48297 | PA      | $48477.24     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 12                                                                                      | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    431461 | PA      | $58576.87     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1537942.18   | 0.00%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NJA73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6834277 | PA      | $6849525.43   | 0.02%             | 2026-12-01      | Variable      | 4.63%                 | 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        |  17885195 | PA      | $405886.62    | 0.00%             | 2037-09-25      | Variable      | 0.95%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M5, Class A1                                                                                      | CUSIP: 3136BLN63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16252445 | PA      | $14631473.21  | 0.05%             | 2034-01-01      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22396728 | PA      | $22956998.23  | 0.07%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  51783539 | PA      | $44859993.76  | 0.14%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CK Hutchison International 16 Ltd.                                    | CK Hutchison International 16 Ltd.                                                                                       | CUSIP: 12563TAB6<br>LEI: 254900OULDVPV9SGEO05 | Long             | DBT              | CORP              | KY        |   6500000 | PA      | $6020495.00   | 0.02%             | 2026-10-03      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2022-4, Class C                                                     | CUSIP: 02529XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14160567.40  | 0.04%             | 2029-02-15      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| JetBlue Pass-Through Trust                                            | JetBlue Pass-Through Trust, Series 2019-1, Class B                                                                       | CUSIP: 477165AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2165149 | PA      | $2116273.87   | 0.01%             | 2027-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  14071000 | PA      | $12766730.73  | 0.04%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $19714223.22  | 0.06%             | 2035-06-01      | Fixed         | 3.12%                 | 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        |    549293 | PA      | $524228.51    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403MXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239188 | PA      | $234163.97    | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1967000 | PA      | $1944290.87   | 0.01%             | 2024-04-29      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Mayo Clinic                                                           | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $2533638.88   | 0.01%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 207900000 | PA      | $159750035.68 | 0.50%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30038255 | PA      | $28687486.79  | 0.09%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    591203 | PA      | $584533.51    | 0.00%             | 2044-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                 | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                                                           | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  42655000 | PA      | $38482969.90  | 0.12%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42875 | PA      | $42995.58     | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2204, Class GB                                                                                      | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3673 | PA      | $629.90       | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                         | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO                                                                | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33525 | PA      | $17877.92     | 0.00%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   6035000 | PA      | $5681125.95   | 0.02%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNGD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2243940 | PA      | $2247703.25   | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  15795000 | PA      | $15094073.02  | 0.05%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K066, Class A2                                          | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8171000 | PA      | $7755845.38   | 0.02%             | 2027-06-25      | Fixed         | 3.12%                 | 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        |    196606 | PA      | $179457.75    | 0.00%             | 2034-11-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                                            | Lear Corp.                                                                                                               | CUSIP: 521865BC8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $2556827.45   | 0.01%             | 2032-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12020000 | PA      | $8125265.42   | 0.03%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538668 | PA      | $454525.45    | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726309 | PA      | $765196.65    | 0.00%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2006-W2, Class 2A                                                                         | CUSIP: 31395N5E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779825 | PA      | $773145.28    | 0.00%             | 2045-11-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                                 | Nissan Motor Co. Ltd.                                                                                                    | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |  39109000 | PA      | $35236246.92  | 0.11%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290T6X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81183 | PA      | $81061.74     | 0.00%             | 2037-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                                       | Welltower, Inc.                                                                                                          | CUSIP: 95040QAJ3<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   2920000 | PA      | $2482492.14   | 0.01%             | 2030-01-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6072860 | PA      | $5892453.56   | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3503457 | PA      | $2781939.41   | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc., Series 2017                                                                   | CUSIP: 209111FL2<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   3355000 | PA      | $2615471.51   | 0.01%             | 2047-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                               | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   3541000 | PA      | $3254808.70   | 0.01%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2208, Class PG                                                                                      | CUSIP: 3133TNFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129539 | PA      | $135938.13    | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                    | Southern Power Co.                                                                                                       | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   7079000 | PA      | $6428158.79   | 0.02%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   7535000 | PA      | $5388805.95   | 0.02%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    425000 | PA      | $462297.37    | 0.00%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Life Storage LP                                                       | Life Storage LP                                                                                                          | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |  15650000 | PA      | $12078953.42  | 0.04%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class Z                                                                                       | CUSIP: 3137A4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16417101 | PA      | $15943791.53  | 0.05%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200                                                                                                | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163973 | PA      | $131869.66    | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1392000 | PA      | $1155806.61   | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust                        | Foursight Capital Automobile Receivables Trust, Series 2021-1, Class D                                                   | CUSIP: 35105WAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $837763.83    | 0.00%             | 2027-03-15      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVR38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5598603 | PA      | $5340679.25   | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | 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        |     84800 | PA      | $51742.92     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Brixmor Operating Partnership LP                                      | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   6613000 | PA      | $6343636.24   | 0.02%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUNQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13169 | PA      | $12912.05     | 0.00%             | 2037-04-01      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  10194000 | PA      | $8765612.74   | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK54                                                             | CUSIP: 12529YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14570000 | PA      | $12678172.92  | 0.04%             | 2026-02-28      | Variable      | 1.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36203YHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2157 | PA      | $2155.26      | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9057505 | PA      | $8869334.96   | 0.03%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   9000000 | PA      | $8324404.38   | 0.03%             | 2026-01-30      | Variable      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2012 | PA      | $2061.74      | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76949 | PA      | $78667.25     | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578QAC7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  11600000 | PA      | $11266384.00  | 0.04%             | 2024-07-11      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Series RR Trust                                                       | Series RR Trust, Series 2014-1, Class B                                                                                  | CUSIP: 81753RAC3<br>LEI: 5493009NOM6OPSHLLP64 | Long             | ABS-MBS          | CORP              | US        |   8260000 | PA      | $7449587.45   | 0.02%             | 2047-05-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |  14890000 | PA      | $12726017.84  | 0.04%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56250000 | PA      | $52701187.50  | 0.16%             | 2032-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7108881 | PA      | $6531968.47   | 0.02%             | 2028-06-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K072, Class A2                                          | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14689000 | PA      | $14120218.42  | 0.04%             | 2027-12-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8311 | PA      | $8496.98      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 2                                                 | Scentre Group Trust 2                                                                                                    | CUSIP: 76025LAA2<br>LEI: 549300VRF0U0JH8TBJ74 | Long             | DBT              | CORP              | AU        |  17060000 | PA      | $15020054.25  | 0.05%             | 2080-09-24      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15269 | PA      | $15822.69     | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169085 | PA      | $176232.08    | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-37, Class PX                                                                                    | CUSIP: 31358UDP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1807 | PA      | $1801.01      | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4400653 | PA      | $4603128.69   | 0.01%             | 2032-01-10      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2                                          | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355000 | PA      | $342010.44    | 0.00%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Cottage Health Obligated Group                                        | Cottage Health Obligated Group, Series 2020                                                                              | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10450000 | PA      | $7538257.46   | 0.02%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7998000 | PA      | $7511486.62   | 0.02%             | 2026-06-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage-Backed Securities Trust                        | Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-3, Class 1A3                                                 | CUSIP: 59025JAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212542 | PA      | $195454.70    | 0.00%             | 2037-06-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848737 | PA      | $27996.70     | 0.00%             | 2037-12-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                              | Republic of South Africa                                                                                                 | CUSIP: 836205AR5<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   3502000 | PA      | $3521261.00   | 0.01%             | 2025-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                          | Sabine Pass Liquefaction LLC                                                                                             | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   9360000 | PA      | $9239147.80   | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | 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        |   5694469 | PA      | $4905201.11   | 0.02%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365567 | PA      | $375034.02    | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12126000 | PA      | $11136142.37  | 0.03%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  23420000 | PA      | $18518650.22  | 0.06%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H12, Class HI                                                                                          | CUSIP: 38380QED0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29979016 | PA      | $1552114.09   | 0.00%             | 2070-07-20      | Variable      | 1.05%                 | 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        |   3534198 | PA      | $158701.74    | 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        |        16 | PA      | $15.71        | 0.00%             | 2023-01-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   6825000 | PA      | $6568617.85   | 0.02%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Ocwen                                                                 | Ocwen                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  25456914 | PA      | $24693206.10  | 0.08%             | 2023-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $3016746.06   | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76853000 | PA      | $52497203.75  | 0.16%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31404SLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159637 | PA      | $161439.99    | 0.00%             | 2034-06-01      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   9320000 | PA      | $9613359.12   | 0.03%             | 2025-11-16      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                     | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3041000 | PA      | $3412261.79   | 0.01%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $2410363.78   | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                          | Discovery Communications LLC                                                                                             | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   6989000 | PA      | $4480180.96   | 0.01%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1457793 | PA      | $1442411.06   | 0.00%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    693417 | PA      | $75752.52     | 0.00%             | 2038-04-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1470, Class F                                                                                       | CUSIP: 312914LG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $14.61        | 0.00%             | 2023-02-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7469116 | PA      | $6828100.29   | 0.02%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   5845000 | PA      | $5687377.30   | 0.02%             | 2025-03-22      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                                | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                                                           | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42298 | PA      | $41654.31     | 0.00%             | 2034-03-25      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1382000 | PA      | $1285119.16   | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-17                                                                                                     | CUSIP: 383742TE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125186 | PA      | $14.85        | 0.00%             | 2038-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37524 | PA      | $38702.54     | 0.00%             | 2032-12-25      | Floating      | 7.12%                 | 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        |  19000000 | PA      | $16735272.20  | 0.05%             | 2037-11-17      | Fixed         | 2.21%                 | Yes           |                  3 | On Loan: No      |
| WW Grainger, Inc.                                                     | WW Grainger, Inc.                                                                                                        | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |   4364000 | PA      | $4061361.97   | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138ELJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994657 | PA      | $1966667.82   | 0.01%             | 2023-06-01      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                                            | Spectra Energy Partners LP                                                                                               | CUSIP: 84756NAG4<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1652044.17   | 0.01%             | 2045-03-15      | Fixed         | 4.50%                 | 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        |     54500 | PA      | $45332.37     | 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        |    585164 | PA      | $591576.73    | 0.00%             | 2040-06-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154095 | PA      | $153361.40    | 0.00%             | 2035-01-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-78, Class Z                                                                                     | CUSIP: 31392FA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516821 | PA      | $521365.13    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42090000 | PA      | $40921385.46  | 0.13%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277453 | PA      | $282502.42    | 0.00%             | 2037-03-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2671, Class S                                                                                       | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88946 | PA      | $92636.34     | 0.00%             | 2033-09-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Oportun Funding XIV LLC                                               | Oportun Funding XIV LLC, Series 2021-A, Class A                                                                          | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20285000 | PA      | $18601190.83  | 0.06%             | 2028-03-08      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| CGI, Inc.                                                             | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |  14101000 | PA      | $12423902.22  | 0.04%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10246 | PA      | $10050.75     | 0.00%             | 2036-12-01      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    909047 | PA      | $937154.40    | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H12, Class FA                                                                                          | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14848774 | PA      | $14668092.73  | 0.05%             | 2065-05-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354155 | PA      | $371816.30    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |  19502000 | PA      | $19093716.07  | 0.06%             | 2024-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAD9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   4032000 | PA      | $3930522.50   | 0.01%             | 2024-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                                    | MDC Holdings, Inc.                                                                                                       | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   7995000 | PA      | $4413730.65   | 0.01%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QAV2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  10588000 | PA      | $9953966.10   | 0.03%             | 2027-01-16      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                          | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |  14800000 | PA      | $12776030.88  | 0.04%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                         | MASTR Reperforming Loan Trust, Series 2006-2, Class 1A1                                                                  | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596257 | PA      | $473768.36    | 0.00%             | 2036-05-25      | Variable      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40408368 | PA      | $41784099.26  | 0.13%             | 2072-03-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class LZ                                                                                      | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65867 | PA      | $68107.86     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                                 | Scentre Group Trust 1                                                                                                    | CUSIP: 806213AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   9910000 | PA      | $9472273.12   | 0.03%             | 2025-02-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Zoetis, Inc.                                                          | Zoetis, Inc.                                                                                                             | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |  12880000 | PA      | $10611511.16  | 0.03%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19003565 | PA      | $15961549.22  | 0.05%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                    | MRA Issuance Trust, Series 2022-EBO1, Class A1X                                                                          | CUSIP: 55351JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18355294 | PA      | $18374557.92  | 0.06%             | 2023-03-23      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-1, Class A                                                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4618465 | PA      | $4282404.30   | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297117 | PA      | $309184.84    | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90723 | PA      | $92953.67     | 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        |    226859 | PA      | $211295.48    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KLRA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28990 | PA      | $30533.59     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   7325000 | PA      | $6492326.74   | 0.02%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care LP                                                  | Sabra Health Care LP                                                                                                     | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   9610000 | PA      | $7205970.18   | 0.02%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-74, Class CS                                                                                    | CUSIP: 31394FDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262024 | PA      | $255872.64    | 0.00%             | 2035-05-25      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1591, Class PV                                                                                      | CUSIP: 3133T1WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3929 | PA      | $3912.93      | 0.00%             | 2023-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-1A, Class C                                                               | CUSIP: 22534LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  43105000 | PA      | $41456613.07  | 0.13%             | 2032-10-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  82555914 | PA      | $69033987.67  | 0.22%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3373, Class TO                                                                                      | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107126 | PA      | $86228.43     | 0.00%             | 2037-04-15      | None          | 0.00%                 | 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        |  21843494 | PA      | $20462860.34  | 0.06%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2638, Class DS                                                                                      | CUSIP: 31393WXE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3968 | PA      | $3900.12      | 0.00%             | 2023-07-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YWBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17924519 | PA      | $18501785.16  | 0.06%             | 2072-03-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXED0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43670887 | PA      | $40257095.84  | 0.13%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Booking Holdings, Inc.                                                | Booking Holdings, Inc.                                                                                                   | CUSIP: 741503BB1<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |   1923000 | PA      | $1914119.80   | 0.01%             | 2023-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M1, Class A2                                                                                      | CUSIP: 3136B3XY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31143181 | PA      | $29800324.01  | 0.09%             | 2028-09-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1BY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1236499 | PA      | $1220366.33   | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LMAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7617378 | PA      | $7161671.90   | 0.02%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                               | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7365000 | PA      | $6403572.90   | 0.02%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1372702 | PA      | $1326091.14   | 0.00%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| American Tower Trust #1                                               | American Tower Trust #1                                                                                                  | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   6220000 | PA      | $6165745.43   | 0.02%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483688 | PA      | $49078.13     | 0.00%             | 2039-02-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059EU51<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   3500000 | PA      | $2697833.92   | 0.01%             | 2028-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20244755 | PA      | $16583088.22  | 0.05%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                       | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2393212.18   | 0.01%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13843 | PA      | $14092.57     | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418AL97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9044220 | PA      | $8512517.93   | 0.03%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63512 | PA      | $62162.98     | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | 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        |    131275 | PA      | $124181.90    | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5Q60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272524 | PA      | $281324.15    | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-61, Class ZC                                                                                    | CUSIP: 31359QPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1604 | PA      | $1600.55      | 0.00%             | 2023-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 36180B5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552332 | PA      | $531588.30    | 0.00%             | 2038-09-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   3394000 | PA      | $3135085.32   | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   8635000 | PA      | $8171902.36   | 0.03%             | 2025-07-01      | Fixed         | 3.45%                 | 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        |   1184612 | PA      | $1248094.50   | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12209056 | PA      | $11203434.01  | 0.03%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13935000 | PA      | $14344507.43  | 0.04%             | 2032-11-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1418 | PA      | $1354.73      | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust      | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-1, Class 3A2                               | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84166 | PA      | $74751.68     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                               | Commonwealth Edison Co.                                                                                                  | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |   3615000 | PA      | $2799162.46   | 0.01%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                                 | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BY8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   9165000 | PA      | $7362934.90   | 0.02%             | 2030-10-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  15645000 | PA      | $13679417.74  | 0.04%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26010 | PA      | $22664.17     | 0.00%             | 2037-02-15      | None          | 0.00%                 | 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        |  40398272 | PA      | $36712495.08  | 0.11%             | 2023-02-15      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                  | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  22700000 | PA      | $21417827.05  | 0.07%             | 2030-01-15      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                      | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    737000 | PA      | $738842.50    | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-247, Class SA                                                                                   | CUSIP: 31359FP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3310 | PA      | $3191.81      | 0.00%             | 2023-12-25      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13283136 | PA      | $12247989.30  | 0.04%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  19870000 | PA      | $15821518.10  | 0.05%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp.                                          | Private Export Funding Corp., Series KK                                                                                  | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |  12505000 | PA      | $12339910.62  | 0.04%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2013-M9, Class A2                                                                                      | CUSIP: 3136AEX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592768 | PA      | $589490.24    | 0.00%             | 2023-01-25      | Variable      | 2.39%                 | 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        |   6818802 | PA      | $6797576.91   | 0.02%             | 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        |   1579491 | PA      | $1666070.29   | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                 | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  12180000 | PA      | $9739482.68   | 0.03%             | 2030-07-16      | Fixed         | 2.68%                 | 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        |     95711 | PA      | $28741.65     | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10924000 | PA      | $8462027.75   | 0.03%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Finance, Inc.                                    | Anheuser-Busch InBev Finance, Inc.                                                                                       | CUSIP: 03524BAF3<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1331860.49   | 0.00%             | 2044-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31385XLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123286 | PA      | $124025.94    | 0.00%             | 2033-08-01      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377575 | PA      | $378352.48    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655712 | PA      | $560407.96    | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $2945351.17   | 0.01%             | 2024-11-15      | None          | 0.00%                 | 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        |     68181 | PA      | $65994.18     | 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        |  13000000 | PA      | $12423847.41  | 0.04%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSCR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4125000 | PA      | $4055937.77   | 0.01%             | 2030-12-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13705000 | PA      | $11997953.17  | 0.04%             | 2027-10-21      | Variable      | 1.95%                 | 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        |    358226 | PA      | $235588.03    | 0.00%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16338021 | PA      | $14341297.42  | 0.04%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  23852000 | PA      | $22150296.95  | 0.07%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56644 | PA      | $55102.45     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class ST                                                                                          | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5269263 | PA      | $292447.80    | 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        |    656120 | PA      | $41586.53     | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                        | QUALCOMM, Inc.                                                                                                           | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |  10475000 | PA      | $9296533.90   | 0.03%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371NVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88549 | PA      | $90011.81     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |  16825000 | PA      | $14345953.35  | 0.04%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                   | Triton Container International Ltd.                                                                                      | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   3000000 | PA      | $2764312.50   | 0.01%             | 2024-06-07      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                                        | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281764 | PA      | $276730.04    | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3365                                                                                                | CUSIP: 31397KNK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152649 | PA      | $123801.46    | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                      | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   8422000 | PA      | $7543417.21   | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                   | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753352 | PA      | $689213.10    | 0.00%             | 2044-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                       | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5810590.22   | 0.02%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC - GNMA, Series 24, Class ZE                                                                                        | CUSIP: 3133T2KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3801 | PA      | $3799.87      | 0.00%             | 2023-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Providence St. Joseph Health Obligated Group                          | Providence St. Joseph Health Obligated Group, Series H                                                                   | CUSIP: 743756AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2942000 | PA      | $2767237.90   | 0.01%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121679 | PA      | $102433.33    | 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        |    319382 | PA      | $311212.12    | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class PE                                                                                    | CUSIP: 31396W5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167622 | PA      | $172371.14    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4803 | PA      | $4911.61      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                         | Healthcare Realty Holdings LP                                                                                            | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   9814000 | PA      | $8236310.59   | 0.03%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M1A92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1479553 | PA      | $1501505.33   | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2013-300P, Class A1                                                                    | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |   4484000 | PA      | $4366259.58   | 0.01%             | 2030-08-10      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series C                                                                                 | CUSIP: 842400FY4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   2854000 | PA      | $2813944.37   | 0.01%             | 2023-10-01      | Fixed         | 3.50%                 | No            |                  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        |  49000435 | PA      | $43149317.87  | 0.13%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| University of Miami                                                   | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |   6570000 | PA      | $5460222.41   | 0.02%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3200, Class AY                                                                                      | CUSIP: 31397AGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683518 | PA      | $700862.28    | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1297491.84   | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | 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        |    251338 | PA      | $233493.71    | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140FUHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344585 | PA      | $1294788.12   | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-17, Class QS                                                                                    | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159668 | PA      | $10813.85     | 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        |   3670766 | PA      | $3540681.02   | 0.01%             | 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        |    409934 | PA      | $294262.38    | 0.00%             | 2035-08-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                    | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  10244000 | PA      | $7912013.53   | 0.02%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3371, Class FA                                                                                      | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72636 | PA      | $72052.27     | 0.00%             | 2037-09-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M5, Class A2                                                                                      | CUSIP: 3136B8TG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  44138180 | PA      | $38384693.12  | 0.12%             | 2030-01-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                      | CVS Health Corp.                                                                                                         | CUSIP: 126650CM0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3349889.90   | 0.01%             | 2035-07-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SART CRR                                                              | SART CRR, Series 4                                                                                                       | CUSIP: N/A<br>LEI: 894500QMXW5NTCNALT38       | Long             | ABS-MBS          | CORP              | IT        |   3821603 | PA      | $3649630.73   | 0.01%             | 2024-10-15      | Fixed         | 2.51%                 | No            |                  3 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1886000 | PA      | $1596177.12   | 0.00%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                               | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   4843000 | PA      | $4506707.12   | 0.01%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-63, Class AP                                                                                    | CUSIP: 31398RPH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333278 | PA      | $276723.00    | 0.00%             | 2040-06-25      | None          | 0.00%                 | 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        |  51910000 | PA      | $41750730.24  | 0.13%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   1075000 | PA      | $868812.33    | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16252 | PA      | $15937.59     | 0.00%             | 2026-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30485847 | PA      | $28866064.02  | 0.09%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  14245000 | PA      | $11159785.28  | 0.03%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                                | Northrop Grumman Corp.                                                                                                   | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $12849478.46  | 0.04%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  26205000 | PA      | $25141125.74  | 0.08%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                               | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   2000000 | PA      | $1931292.10   | 0.01%             | 2025-03-23      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3181, Class AZ                                                                                      | CUSIP: 31396UQN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350282 | PA      | $369405.66    | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAE Systems Holdings, Inc.                                            | BAE Systems Holdings, Inc.                                                                                               | CUSIP: 05523UAK6<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4874204.60   | 0.02%             | 2024-10-07      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class D                                                                          | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6450000 | PA      | $5725579.22   | 0.02%             | 2037-08-17      | Fixed         | 2.24%                 | Yes           |                  3 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class 3A                                                           | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219645 | PA      | $194442.25    | 0.00%             | 2034-04-25      | Floating      | 4.60%                 | No            |                  3 | On Loan: No      |
| Liberty Mutual Group, Inc.                                            | Liberty Mutual Group, Inc.                                                                                               | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   3049000 | PA      | $2833746.06   | 0.01%             | 2029-02-01      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4805000 | PA      | $4282848.67   | 0.01%             | 2039-06-15      | Fixed         | 5.12%                 | 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        |  16830000 | PA      | $12923718.29  | 0.04%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  3 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   6211000 | PA      | $5176868.50   | 0.02%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23167 | PA      | $23921.48     | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ohio State University (The)                                           | Ohio State University (The), General Receipts, Series 2016A                                                              | CUSIP: 677632G96<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   3478000 | PA      | $2967731.14   | 0.01%             | 2056-12-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   2136000 | PA      | $1625316.88   | 0.01%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412MPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82236 | PA      | $84140.10     | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   9740000 | PA      | $10778699.80  | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VDY7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1711000 | PA      | $1678375.71   | 0.01%             | 2027-03-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JL5B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6643795 | PA      | $6808274.53   | 0.02%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453740 | PA      | $459152.14    | 0.00%             | 2036-10-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                   | Valero Energy Corp.                                                                                                      | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1225172.12   | 0.00%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28635 | PA      | $28849.10     | 0.00%             | 2036-01-15      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   7101000 | PA      | $6900704.01   | 0.02%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400FT5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   3408000 | PA      | $2587090.98   | 0.01%             | 2041-12-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10563236 | PA      | $9960436.53   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    774525 | PA      | $802810.67    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1952000 | PA      | $1631716.87   | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222399 | PA      | $222845.82    | 0.00%             | 2035-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6423709 | PA      | $5787288.32   | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                              | PRPM LLC, Series 2021-10, Class A1                                                                                       | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  54479519 | PA      | $50091389.94  | 0.16%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class ZG                                                                                    | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174621 | PA      | $177537.50    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                               | Mercedes-Benz Finance North America LLC                                                                                  | CUSIP: 233851DD3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4980770.25   | 0.02%             | 2023-02-22      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  12902000 | PA      | $11524053.37  | 0.04%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-15, Class ZA                                                                                    | CUSIP: 31392CKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560984 | PA      | $569231.94    | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3461, Class Z                                                                                       | CUSIP: 31397TXU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620998 | PA      | $1661028.65   | 0.01%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H18, Class FA                                                                                          | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6953368 | PA      | $6873357.39   | 0.02%             | 2065-06-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  47377000 | PA      | $44308690.66  | 0.14%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LTUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    987524 | PA      | $983955.46    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16212 | PA      | $16605.55     | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $77325053.00  | 0.24%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                                              | HP, Inc.                                                                                                                 | CUSIP: 40434LAB1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |  11105000 | PA      | $10191659.84  | 0.03%             | 2027-06-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2014-2, Class A                                                               | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8626591 | PA      | $7940255.56   | 0.02%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GGE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1766346 | PA      | $1663258.44   | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K54N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12890006 | PA      | $12710752.40  | 0.04%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-99, Class FA                                                                                    | CUSIP: 3136A8VS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108828 | PA      | $1083216.43   | 0.00%             | 2042-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029892 | PA      | $1056203.98   | 0.00%             | 2036-03-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5021849.00   | 0.02%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2122278 | PA      | $2024568.67   | 0.01%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   4475000 | PA      | $4231164.10   | 0.01%             | 2041-06-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                             | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   9675000 | PA      | $7961727.49   | 0.02%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-59, Class WA                                                                                           | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1070881 | PA      | $1096047.86   | 0.00%             | 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        |    170235 | PA      | $169517.26    | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NNY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177174 | PA      | $181144.77    | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1947089 | PA      | $1908747.23   | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101400 | PA      | $103110.10    | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J5K32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8300932 | PA      | $8072747.95   | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3409927 | PA      | $3290396.90   | 0.01%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HZ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33828 | PA      | $33302.75     | 0.00%             | 2037-09-01      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1995-19, Class Z                                                                                     | CUSIP: 31359LZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11285 | PA      | $11268.71     | 0.00%             | 2023-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class SW                                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24378 | PA      | $27190.93     | 0.00%             | 2036-06-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| WH Master Fund Frn   144a                                             | WH Master Fund Frn   144a                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  35308829 | PA      | $35308829.00  | 0.11%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200000000 | PA      | $189820312.00 | 0.59%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2017-K63, Class B                                                                           | CUSIP: 30300HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20000000 | PA      | $18576052.00  | 0.06%             | 2050-02-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                                | Marlette Funding Trust, Series 2022-2A, Class B                                                                          | CUSIP: 57107LAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13153572.45  | 0.04%             | 2032-08-15      | Fixed         | 5.50%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1502, Class PX                                                                                      | CUSIP: 312915HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3947 | PA      | $3945.14      | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-67, Class SI                                                                                           | CUSIP: 38375LG53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686790 | PA      | $27330.40     | 0.00%             | 2037-11-20      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2755000 | PA      | $2622833.70   | 0.01%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H17, Class FC                                                                                          | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8523370 | PA      | $8375806.65   | 0.03%             | 2064-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MKJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3720498 | PA      | $3788573.22   | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue | Regents of the University of California Medical Center Pooled                                                            | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  21120000 | PA      | $13585904.64  | 0.04%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates                                 | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M1                                                           | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51461 | PA      | $49710.07     | 0.00%             | 2034-03-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  20735000 | PA      | $19809996.93  | 0.06%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-42, Class PS                                                                                    | CUSIP: 31394DRU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16923 | PA      | $17097.01     | 0.00%             | 2035-05-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida Project Finance LLC                               | Duke Energy Florida Project Finance LLC, Series 2032                                                                     | CUSIP: 26444GAD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9430000 | PA      | $7974341.07   | 0.02%             | 2033-03-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                           | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |   7052000 | PA      | $6656738.86   | 0.02%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Xylem, Inc.                                                           | Xylem, Inc.                                                                                                              | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |   7315000 | PA      | $6013017.05   | 0.02%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QCU79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7956607 | PA      | $7402644.39   | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M38, Class X2                                                                                     | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  49812020 | PA      | $3643251.11   | 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        |      5579 | PA      | $5591.50      | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                           | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |  12937000 | PA      | $9991025.30   | 0.03%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KH4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615712 | PA      | $528882.80    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Co.                                         | Oklahoma Gas and Electric Co.                                                                                            | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |   2085000 | PA      | $2040410.09   | 0.01%             | 2023-05-26      | Fixed         | 0.55%                 | 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        |     82033 | PA      | $78992.33     | 0.00%             | 2033-11-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 2A                                                                | CUSIP: 31393X7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486779 | PA      | $478407.37    | 0.00%             | 2043-07-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1686, Class SH                                                                                      | CUSIP: 3133T4EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       462 | PA      | $455.80       | 0.00%             | 2024-02-15      | Floating      | 11.56%                | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9799299 | PA      | $344072.98    | 0.00%             | 2039-03-25      | Variable      | 2.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       153 | PA      | $149.90       | 0.00%             | 2062-05-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132XVEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1421136 | PA      | $1368104.06   | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BG Energy Capital plc                                                 | BG Energy Capital plc                                                                                                    | CUSIP: 05541VAF3<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |   5781000 | PA      | $5447313.57   | 0.02%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239187 | PA      | $198653.70    | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-62, Class SE                                                                                    | CUSIP: 31396WZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124416 | PA      | $121433.14    | 0.00%             | 2037-07-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H06, Class HB                                                                                          | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1595505 | PA      | $1584715.26   | 0.00%             | 2064-03-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2882000 | PA      | $1969604.94   | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2229793.34   | 0.01%             | 2030-10-30      | Fixed         | 1.68%                 | 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        |   1146334 | PA      | $1095425.51   | 0.00%             | 2047-09-20      | Fixed         | 4.99%                 | Yes           |                  3 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  15977000 | PA      | $12033083.30  | 0.04%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | 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        |   5250000 | PA      | $4614537.38   | 0.01%             | 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        | 113441445 | PA      | $106634958.31 | 0.33%             | 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        |    754192 | PA      | $722687.13    | 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        |   3453507 | PA      | $3125034.91   | 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        |   7013395 | PA      | $6782901.62   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                                               | Duke Energy Indiana LLC                                                                                                  | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3536948.12   | 0.01%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125886 | PA      | $25739.56     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | 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        |  29899613 | PA      | $27023527.36  | 0.08%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4900000 | PA      | $3570217.47   | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11050 | PA      | $11396.20     | 0.00%             | 2038-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50733 | PA      | $7108.98      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180520 | PA      | $186159.43    | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |  19410000 | PA      | $15121025.68  | 0.05%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-109, Class AI                                                                                   | CUSIP: 31396XY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858837 | PA      | $56756.10     | 0.00%             | 2037-12-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40296486 | PA      | $41635219.76  | 0.13%             | 2072-03-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   4800000 | PA      | $3563116.37   | 0.01%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7L29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3104971 | PA      | $2942391.32   | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2014                                                                                      | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115086 | PA      | $996216.48    | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283639 | PA      | $296600.38    | 0.00%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1867699 | PA      | $1997223.59   | 0.01%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3786 | PA      | $292.81       | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1498, Class I                                                                                       | CUSIP: 312915RW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2716 | PA      | $2718.17      | 0.00%             | 2023-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                                             | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871381 | PA      | $3827903.59   | 0.01%             | 2046-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                     | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-T26, Class X1                                             | CUSIP: 07388VAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519629 | PA      | $12.83        | 0.00%             | 2045-01-12      | Variable      | 1.17%                 | Yes           |                  3 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  33603000 | PA      | $34317241.51  | 0.11%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10127923 | PA      | $147715.75    | 0.00%             | 2038-08-25      | Variable      | 0.81%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 180150000 | PA      | $130883197.72 | 0.41%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   8940000 | PA      | $7181484.21   | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-103, Class SB                                                                                   | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415599 | PA      | $33226.56     | 0.00%             | 2049-11-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  15473000 | PA      | $10029490.29  | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5997835 | PA      | $5599311.40   | 0.02%             | 2026-08-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9303 | PA      | $8571.12      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84905 | PA      | $87444.90     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32626 | PA      | $31757.09     | 0.00%             | 2036-12-01      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49338 | PA      | $40996.92     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3021000 | PA      | $2901222.06   | 0.01%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   8283000 | PA      | $6777525.07   | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13301 | PA      | $13030.04     | 0.00%             | 2027-09-01      | Variable      | 2.80%                 | 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        |     96338 | PA      | $77296.31     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LH5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10746000 | PA      | $11193760.46  | 0.03%             | 2033-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7249 | PA      | $7418.33      | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   3653000 | PA      | $3407840.23   | 0.01%             | 2044-09-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673133 | PA      | $648666.72    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200455000 | PA      | $155939896.01 | 0.49%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-50, Class KB                                                                                           | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429804 | PA      | $441371.57    | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  10875000 | PA      | $8887203.23   | 0.03%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85520000 | PA      | $74840022.09  | 0.23%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  16126000 | PA      | $14129423.17  | 0.04%             | 2039-04-23      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  25080000 | PA      | $17131184.18  | 0.05%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67169 | PA      | $71832.29     | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2006-1, Class XPO                                                                  | CUSIP: 05949TBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31051 | PA      | $17094.14     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410LAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216934 | PA      | $221791.88    | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-62, Class SA                                                                                    | CUSIP: 31358UVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       562 | PA      | $557.57       | 0.00%             | 2023-04-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    455000 | PA      | $386357.51    | 0.00%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356949 | PA      | $8089.04      | 0.00%             | 2037-04-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35389 | PA      | $3844.27      | 0.00%             | 2028-03-15      | 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 2004-6XS, Class A5B                         | CUSIP: 86359BMB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123455 | PA      | $121042.18    | 0.00%             | 2034-03-25      | Variable      | 6.05%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10756000 | PA      | $10032219.72  | 0.03%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13411000 | PA      | $13189364.72  | 0.04%             | 2025-06-10      | Fixed         | 4.40%                 | 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        |    162870 | PA      | $160554.57    | 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        |  43050000 | PA      | $35061542.99  | 0.11%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1265797 | PA      | $1234008.19   | 0.00%             | 2043-04-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3443, Class SY                                                                                      | CUSIP: 31397T7H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92461 | PA      | $96233.26     | 0.00%             | 2037-03-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-14, Class BO                                                                                           | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225888 | PA      | $181164.00    | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119440 | PA      | $120121.78    | 0.00%             | 2037-02-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  24465000 | PA      | $17299813.13  | 0.05%             | 2041-05-11      | Fixed         | 3.25%                 | 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 CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131251 | PA      | $179534.33    | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7830 | PA      | $7876.74      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                                           | Phillips 66                                                                                                              | CUSIP: 718546AL8<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    665000 | PA      | $619624.96    | 0.00%             | 2044-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5MP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334527 | PA      | $356947.79    | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1684119 | PA      | $1720780.70   | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                       | Martin Marietta Materials, Inc.                                                                                          | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |   5785000 | PA      | $5375923.44   | 0.02%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23631 | PA      | $25092.69     | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | 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        |   1889538 | PA      | $1665263.67   | 0.01%             | 2035-07-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25855000 | PA      | $14911063.28  | 0.05%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153963 | PA      | $156028.41    | 0.00%             | 2036-07-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53972 | PA      | $55579.99     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGA62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19861818 | PA      | $20404230.06  | 0.06%             | 2072-03-20      | Variable      | 5.75%                 | 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        |    154464 | PA      | $137268.45    | 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        |    479751 | PA      | $409860.98    | 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        |    254428 | PA      | $253329.31    | 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        |   1400262 | PA      | $1314091.12   | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                        | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   8565000 | PA      | $8567351.18   | 0.03%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1616000 | PA      | $1247568.48   | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        | 110463000 | PA      | $89347445.24  | 0.28%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    660934 | PA      | $24768.70     | 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        |   1967664 | PA      | $1896018.52   | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102380 | PA      | $82270.26     | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105553 | PA      | $95253.39     | 0.00%             | 2029-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32243180 | PA      | $27664952.27  | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-32, Class SA                                                                                    | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137260 | PA      | $11889.85     | 0.00%             | 2038-04-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381E7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4290 | PA      | $4281.39      | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |  10095000 | PA      | $10439630.38  | 0.03%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844AW8<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     51000 | PA      | $51682.57     | 0.00%             | 2025-05-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-225, Class UB                                                                                   | CUSIP: 31359GDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3342 | PA      | $3348.17      | 0.00%             | 2023-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186473 | PA      | $189436.17    | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | 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        |  16970000 | PA      | $16740406.08  | 0.05%             | 2036-12-17      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 204145300 | PA      | $134608307.19 | 0.42%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417NEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198010 | PA      | $200940.30    | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage Trust                                       | SBALR Commercial Mortgage Trust, Series 2020-RR1, Class A3                                                               | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24215000 | PA      | $20670023.28  | 0.06%             | 2053-02-13      | Fixed         | 2.83%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49680 | PA      | $48948.09     | 0.00%             | 2062-09-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8K52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $15292512.32  | 0.05%             | 2027-02-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 411, Class F1                                                                                       | CUSIP: 31395QDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5029123 | PA      | $5046843.00   | 0.02%             | 2042-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1271109.40   | 0.00%             | 2041-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 200075000 | PA      | $131572759.29 | 0.41%             | 2051-11-15      | Fixed         | 1.88%                 | 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        |    532116 | PA      | $543928.12    | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47726 | PA      | $39034.67     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5920153 | PA      | $5637250.76   | 0.02%             | 2025-06-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32107055 | PA      | $33232959.96  | 0.10%             | 2071-09-20      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809985 | PA      | $90119.71     | 0.00%             | 2036-08-25      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                    | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |  27542000 | PA      | $23995967.50  | 0.07%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LATE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6800000 | PA      | $6551309.11   | 0.02%             | 2025-08-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13463 | PA      | $13742.67     | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3117, Class AO                                                                                      | CUSIP: 31396HUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265650 | PA      | $239256.20    | 0.00%             | 2036-02-15      | None          | 0.00%                 | 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        |  12485190 | PA      | $740250.65    | 0.00%             | 2035-09-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934308 | PA      | $955953.41    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHWZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213464 | PA      | $209365.72    | 0.00%             | 2037-04-01      | Variable      | 2.67%                 | No            |                  2 | 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        |  15700000 | PA      | $14726632.97  | 0.05%             | 2038-04-15      | Floating      | 5.98%                 | Yes           |                  3 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBW7<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    605000 | PA      | $641257.87    | 0.00%             | 2059-01-23      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2013-1, Class A                                                               | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15589125 | PA      | $14566741.41  | 0.05%             | 2025-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YGC45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20210800 | PA      | $21112123.35  | 0.07%             | 2072-07-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QGGP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260754 | PA      | $263306.75    | 0.00%             | 2036-08-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR25, Class A4                                                                    | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17593000 | PA      | $16785576.30  | 0.05%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6700000 | PA      | $5897276.82   | 0.02%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   5250000 | PA      | $4814250.05   | 0.02%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11766472 | PA      | $9928221.09   | 0.03%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                     | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5410000 | PA      | $3772258.18   | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223084 | PA      | $229674.01    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 113297000 | PA      | $78947222.40  | 0.25%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2019-2A, Class B                                                                          | CUSIP: 52604AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6150000 | PA      | $5666682.57   | 0.02%             | 2028-04-20      | Fixed         | 3.22%                 | Yes           |                  3 | 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        |   1091388 | PA      | $977963.18    | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138632 | PA      | $138299.00    | 0.00%             | 2036-09-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132AEN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4436578 | PA      | $4254859.97   | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   4149000 | PA      | $3731295.52   | 0.01%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FL                                                                                          | CUSIP: 38376RDR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17270072 | PA      | $17029349.70  | 0.05%             | 2065-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                                         | MetLife, Inc.                                                                                                            | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   2027000 | PA      | $1728039.03   | 0.01%             | 2042-08-13      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12291964 | PA      | $12622459.01  | 0.04%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WTSC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4296832 | PA      | $4044175.47   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                              | Octane Receivables Trust, Series 2022-1A, Class D                                                                        | CUSIP: 67571EAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4235000 | PA      | $4008628.66   | 0.01%             | 2029-02-20      | Fixed         | 5.54%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-98, Class FB                                                                                    | CUSIP: 31396XJ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105779 | PA      | $108244.04    | 0.00%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83367TBG3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   7200000 | PA      | $7098124.39   | 0.02%             | 2024-01-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 3140LHVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36000000 | PA      | $36573201.00  | 0.11%             | 2032-10-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 113140000 | PA      | $106638869.25 | 0.33%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   9710000 | PA      | $8839180.21   | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35063 | PA      | $35752.84     | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  14590000 | PA      | $14234456.00  | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | 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        |    437973 | PA      | $398170.09    | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-57                                                                                                     | CUSIP: 38375LUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289155 | PA      | $274451.77    | 0.00%             | 2037-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHS68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8255000 | PA      | $8110259.80   | 0.03%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co., Series C                                                                                 | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1438176.26   | 0.00%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   7600000 | PA      | $5686360.28   | 0.02%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                                 | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   3759000 | PA      | $3263648.98   | 0.01%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 109865000 | PA      | $105680688.20 | 0.33%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                                     | Safehold Operating Partnership LP                                                                                        | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |   2972000 | PA      | $2282835.61   | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | 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        |    135243 | PA      | $143391.92    | 0.00%             | 2044-01-25      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                   | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   6600000 | PA      | $4825294.72   | 0.02%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                                | WEC Energy Group, Inc.                                                                                                   | CUSIP: 976657AL0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   1651000 | PA      | $1572405.90   | 0.00%             | 2025-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  33000000 | PA      | $31257747.18  | 0.10%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2242000 | PA      | $1261512.31   | 0.00%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QPQF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25221 | PA      | $24831.25     | 0.00%             | 2037-03-01      | Variable      | 3.93%                 | 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        |      1162 | PA      | $992.06       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40010 | PA      | $41458.11     | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | 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        |    130107 | PA      | $132594.65    | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class A                                                                           | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26300000 | PA      | $25303180.03  | 0.08%             | 2031-06-09      | Fixed         | 5.05%                 | Yes           |                  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        |   1371502 | PA      | $1408847.53   | 0.00%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Aml-prop CAP 2022-e Frn                                               | Aml-prop CAP 2022-e Frn                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  39111352 | PA      | $38133568.39  | 0.12%             | 2024-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465193 | PA      | $39270.18     | 0.00%             | 2033-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139260 | PA      | $137635.24    | 0.00%             | 2036-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-230, Class FA                                                                                   | CUSIP: 31359FE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1215 | PA      | $1214.79      | 0.00%             | 2023-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                                | Texas Health Resources                                                                                                   | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |   6717000 | PA      | $3891607.80   | 0.01%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-12, Class BZ                                                                                    | CUSIP: 31394VQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873552 | PA      | $890030.25    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pendoor Proper                                                        | Pendoor Proper                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  68650000 | PA      | $65389125.00  | 0.20%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| 7-Eleven, Inc.                                                        | 7-Eleven, Inc.                                                                                                           | CUSIP: 817826AF7<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   9243000 | PA      | $6182566.35   | 0.02%             | 2041-02-10      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183280 | PA      | $181302.98    | 0.00%             | 2036-10-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2014-SFR2, Class A                                                                   | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10718378 | PA      | $10272887.96  | 0.03%             | 2036-10-17      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3383, Class SA                                                                                      | CUSIP: 31397P4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760396 | PA      | $73640.29     | 0.00%             | 2037-11-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90125000 | PA      | $74916406.25  | 0.23%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                      | National Retail Properties, Inc.                                                                                         | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |   5043000 | PA      | $4847121.76   | 0.02%             | 2025-11-15      | 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        |  37764282 | PA      | $33141186.39  | 0.10%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2001-T3, Class A1                                                                | CUSIP: 31358S7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558020 | PA      | $567264.63    | 0.00%             | 2040-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2324884 | PA      | $2238116.21   | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                                | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |   2888000 | PA      | $2420263.68   | 0.01%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                          | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  20000000 | PA      | $20014759.00  | 0.06%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK98                                                             | CUSIP: 12529YBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22370000 | PA      | $15119323.75  | 0.05%             | 2029-08-29      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                              | Marathon Petroleum Corp.                                                                                                 | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |  13546000 | PA      | $13430376.09  | 0.04%             | 2025-05-01      | Fixed         | 4.70%                 | 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        |     39690 | PA      | $38888.53     | 0.00%             | 2020-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  16176000 | PA      | $15405143.88  | 0.05%             | 2024-07-01      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11308855 | PA      | $9767957.76   | 0.03%             | 2031-10-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29152 | PA      | $30656.74     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66569 | PA      | $68987.16     | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |  17925000 | PA      | $16119581.45  | 0.05%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9311800 | PA      | $8544832.32   | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4032, Class TO                                                                                      | CUSIP: 3137APJ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1394321 | PA      | $1102111.51   | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2539 | PA      | $2628.51      | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                              | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   4700000 | PA      | $4466814.48   | 0.01%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                              | AEP Transmission Co. LLC                                                                                                 | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $1868756.04   | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1745064 | PA      | $1705957.92   | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1602, Class SA                                                                                      | CUSIP: 3133T1D82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3757 | PA      | $3664.25      | 0.00%             | 2023-10-15      | Floating      | 11.66%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC - GNMA, Series 8, Class ZA                                                                                         | CUSIP: 3129145M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       237 | PA      | $236.14       | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374916 | PA      | $391383.48    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banner Health                                                         | Banner Health                                                                                                            | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |  13950000 | PA      | $11137154.92  | 0.03%             | 2031-01-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-43, Class ZQ                                                                                           | CUSIP: 38377ULE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1602170 | PA      | $1597299.75   | 0.00%             | 2033-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                          | Park Aerospace Holdings Ltd.                                                                                             | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |  23761000 | PA      | $23411501.59  | 0.07%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2020-3A, Class C                                                                             | CUSIP: 26253AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6815000 | PA      | $6577844.82   | 0.02%             | 2026-06-15      | Fixed         | 1.47%                 | Yes           |                  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        |    173905 | PA      | $152672.88    | 0.00%             | 2034-11-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                    | Republic of Panama                                                                                                       | CUSIP: 698299BK9<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   8850000 | PA      | $7676268.75   | 0.02%             | 2030-01-23      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9WF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9151411 | PA      | $8583059.23   | 0.03%             | 2027-05-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161894 | PA      | $167186.14    | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  98830000 | PA      | $73867704.40  | 0.23%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3501, Class CB                                                                                      | CUSIP: 31397YS69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782521 | PA      | $796396.25    | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7599 | PA      | $7822.32      | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-111, Class AM                                                                                   | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3918365 | PA      | $4022510.81   | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832999 | PA      | $866611.08    | 0.00%             | 2033-09-01      | 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        |   2031397 | PA      | $1869991.45   | 0.01%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                                  | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   4378000 | PA      | $4080794.65   | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4650 | PA      | $4776.32      | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1152748 | PA      | $1213942.89   | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-101, Class FC                                                                                   | CUSIP: 3136A76U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604069 | PA      | $591642.23    | 0.00%             | 2042-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2017-H14, Class XI                                                                                          | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34768075 | PA      | $1526321.95   | 0.00%             | 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        |  57000000 | PA      | $50040225.90  | 0.16%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                              | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |  25595000 | PA      | $19065811.48  | 0.06%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H03, Class FA                                                                                          | CUSIP: 38375UTM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3556764 | PA      | $3526157.27   | 0.01%             | 2064-12-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    416764 | PA      | $17161.11     | 0.00%             | 2037-06-16      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                              | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   9380000 | PA      | $7515142.60   | 0.02%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                            | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |   3766000 | PA      | $2954389.34   | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2015-K47, Class B                                                                           | CUSIP: 30293AAN0<br>LEI: 549300S586ZSTJQXPJ92 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4745656.50   | 0.01%             | 2048-06-25      | Variable      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Texas Eastern Transmission LP                                         | Texas Eastern Transmission LP                                                                                            | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |    908000 | PA      | $825216.23    | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  45000000 | PA      | $43650000.00  | 0.14%             | 2025-10-16      | Fixed         | 6.38%                 | No            |                  3 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  13674000 | PA      | $13117597.69  | 0.04%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3034842 | PA      | $2971808.86   | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2020-CBM, Class A2                                                                     | CUSIP: 20049AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550000 | PA      | $6945635.34   | 0.02%             | 2037-02-10      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M8, Class A2                                                                                      | CUSIP: 3136ANSB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8984370 | PA      | $8622781.88   | 0.03%             | 2025-01-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31418MEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18034 | PA      | $18254.73     | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 403160000 | PA      | $359962034.93 | 1.12%             | 2026-02-28      | Fixed         | 0.50%                 | 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        |   1928207 | PA      | $666007.74    | 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        |   1368978 | PA      | $1322849.45   | 0.00%             | 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        |    173432 | PA      | $168735.47    | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65730 | PA      | $54409.28     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2780, Class SY                                                                                      | CUSIP: 31394XSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45366 | PA      | $49028.59     | 0.00%             | 2033-11-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-6, Class W                                                                                             | CUSIP: 38378PS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1774339 | PA      | $1807847.62   | 0.01%             | 2039-01-20      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                           | Nationwide Building Society                                                                                              | CUSIP: 63859UBH5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  19850000 | PA      | $17222314.96  | 0.05%             | 2026-10-13      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BP Capital Markets plc                                                | BP Capital Markets plc                                                                                                   | CUSIP: 05565QDN5<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   6422000 | PA      | $6073339.86   | 0.02%             | 2027-09-19      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3640 | PA      | $3697.63      | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84431 | PA      | $89871.28     | 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        |    134380 | PA      | $142431.36    | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417MH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442893 | PA      | $451715.14    | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SART                                                                  | SART CRR                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2117541 | PA      | $2094036.49   | 0.01%             | 2026-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                                         | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716443 | PA      | $739251.04    | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7YH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2689838 | PA      | $2574133.30   | 0.01%             | 2026-12-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-46, Class HI                                                                                    | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422747 | PA      | $21234.71     | 0.00%             | 2038-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4598732 | PA      | $4917459.52   | 0.02%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22851 | PA      | $24308.88     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SART                                                                  | SART                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   9361068 | PA      | $9159804.96   | 0.03%             | 2024-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89217 | PA      | $87503.24     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LCMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3476873 | PA      | $3191355.35   | 0.01%             | 2035-12-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XG2B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32963985 | PA      | $31726805.82  | 0.10%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2033, Class J                                                                                       | CUSIP: 3133TCWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10153 | PA      | $10133.12     | 0.00%             | 2023-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164005 | PA      | $173196.73    | 0.00%             | 2034-04-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50821000 | PA      | $42951685.78  | 0.13%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-2A, Class D                                                                       | CUSIP: 78397WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19930000 | PA      | $18217235.73  | 0.06%             | 2032-10-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564273 | PA      | $14813.45     | 0.00%             | 2037-11-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |   2375000 | PA      | $2075223.77   | 0.01%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                          | Southern Natural Gas Co. LLC                                                                                             | CUSIP: 84346LAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2649000 | PA      | $2192112.14   | 0.01%             | 2047-03-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-35, Class EA                                                                                    | CUSIP: 31393BP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26805 | PA      | $22132.00     | 0.00%             | 2033-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17931668 | PA      | $18494910.14  | 0.06%             | 2071-10-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                    | New York State Dormitory Authority, State Personal Income Tax, General Purpose                                           | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   2240000 | PA      | $2373096.77   | 0.01%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-118, Class LB                                                                                   | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3824430 | PA      | $4111781.24   | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1582759.99   | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324426 | PA      | $328390.23    | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132HBF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1182731 | PA      | $1135745.80   | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9380000 | PA      | $6230195.34   | 0.02%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                       | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |   6430000 | PA      | $4277193.50   | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9249495 | PA      | $8870668.52   | 0.03%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340692 | PA      | $337835.60    | 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        |    783276 | PA      | $787806.22    | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | 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        |    756887 | PA      | $716257.63    | 0.00%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                           | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |  14120000 | PA      | $10985409.70  | 0.03%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2388, Class FB                                                                                      | CUSIP: 31339M2J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48117 | PA      | $47898.13     | 0.00%             | 2029-01-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3734000 | PA      | $3510007.87   | 0.01%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  33120000 | PA      | $30404949.58  | 0.09%             | 2025-02-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  35836000 | PA      | $27381616.75  | 0.09%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JAPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11704328 | PA      | $10604194.44  | 0.03%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100712 | PA      | $83189.88     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                           | Southern California Gas Co., Series XX                                                                                   | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   7148000 | PA      | $6134268.78   | 0.02%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                        | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |  10460000 | PA      | $7550641.58   | 0.02%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  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        |    392568 | PA      | $351122.78    | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                     | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |  16415000 | PA      | $12249257.93  | 0.04%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2332, Class ZH                                                                                      | CUSIP: 313398L98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118448 | PA      | $125187.44    | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   5794000 | PA      | $5454929.50   | 0.02%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  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        |    274581 | PA      | $252730.34    | 0.00%             | 2028-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14317000 | PA      | $12610417.90  | 0.04%             | 2032-05-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4837, Class ZB                                                                                      | CUSIP: 3137FJDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8940321 | PA      | $8612759.12   | 0.03%             | 2048-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Co.                                             | Pennsylvania Electric Co.                                                                                                | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1422211.50   | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | 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        |  10439056 | PA      | $9898772.45   | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31416BYW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10448 | PA      | $10410.47     | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | 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        |   7420000 | PA      | $7196919.93   | 0.02%             | 2052-04-17      | Fixed         | 5.64%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-60, Class CS                                                                                           | CUSIP: 38375DAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706273 | PA      | $18366.14     | 0.00%             | 2038-07-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                       | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672231 | PA      | $558480.97    | 0.00%             | 2035-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6857374 | PA      | $5411032.57   | 0.02%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | 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        |     52032 | PA      | $47887.51     | 0.00%             | 2033-06-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  11983000 | PA      | $11649627.43  | 0.04%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128                                                                                             | CUSIP: 31396PEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144080 | PA      | $118703.13    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391618 | PA      | $393020.37    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-78, Class CB                                                                                    | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72997 | PA      | $74828.65     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  12016000 | PA      | $9790782.67   | 0.03%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  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        |   1259581 | PA      | $1231569.23   | 0.00%             | 2034-11-25      | Variable      | 4.88%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KLU2, Class A7                                          | CUSIP: 3137FPHV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13312527 | PA      | $12432138.87  | 0.04%             | 2025-09-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5118000 | PA      | $4428029.63   | 0.01%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-66, Class SP                                                                                           | CUSIP: 38374LU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67702 | PA      | $66451.46     | 0.00%             | 2035-08-16      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4238, Class WY                                                                                      | CUSIP: 3137B4FZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2396177 | PA      | $2262591.75   | 0.01%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292GMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       732 | PA      | $734.06       | 0.00%             | 2024-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  24378000 | PA      | $22456063.10  | 0.07%             | 2026-01-15      | Fixed         | 2.88%                 | 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        |  10000000 | PA      | $9554389.00   | 0.03%             | 2048-10-25      | Variable      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Chase Funding Trust                                                   | Chase Funding Trust, Series 2003-6, Class 1A5                                                                            | CUSIP: 161546HA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    739034 | PA      | $722573.49    | 0.00%             | 2034-11-25      | Variable      | 4.88%                 | No            |                  3 | 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        |    993004 | PA      | $953879.89    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                     | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   9875000 | PA      | $7778555.37   | 0.02%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                 | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class A4                                                         | CUSIP: 94989NBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8751000 | PA      | $8277847.43   | 0.03%             | 2058-09-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7231345 | PA      | $6516754.63   | 0.02%             | 2031-06-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                       | Phillips 66 Co.                                                                                                          | CUSIP: 718547AE2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   1453000 | PA      | $1371056.31   | 0.00%             | 2026-10-01      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9266000 | PA      | $9503354.98   | 0.03%             | 2041-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  11119000 | PA      | $8254137.50   | 0.03%             | 2041-04-30      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140GWQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5016839 | PA      | $4877888.73   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G93-17, Class SI                                                                                     | CUSIP: 31358UWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       427 | PA      | $427.11       | 0.00%             | 2023-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                     | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |   8295000 | PA      | $8921333.47   | 0.03%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  22915000 | PA      | $18564345.27  | 0.06%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-11, Class SC                                                                                           | CUSIP: 38374TJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482313 | PA      | $10686.95     | 0.00%             | 2039-02-16      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410FXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77857 | PA      | $76245.06     | 0.00%             | 2037-01-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates  | Cendant Mortgage Capital LLC CDMC Mortgage Pass-Through Certificates, Series 2004-1, Class P                             | CUSIP: 151314GD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24444 | PA      | $17436.98     | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Healthpeak Properties, Inc.                                           | Healthpeak Properties, Inc.                                                                                              | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    162000 | PA      | $156398.59    | 0.00%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5076000 | PA      | $4088993.32   | 0.01%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23092227 | PA      | $20307901.47  | 0.06%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  65061306 | PA      | $61940581.90  | 0.19%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2996265 | PA      | $2973896.76   | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                 | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   2327000 | PA      | $2230329.79   | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Edison International                                                  | Edison International                                                                                                     | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   6730000 | PA      | $6218968.49   | 0.02%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175215 | PA      | $182313.45    | 0.00%             | 2034-04-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAW2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   2726000 | PA      | $2373530.24   | 0.01%             | 2046-03-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2020-SFR1, Class E                                                                          | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11250000 | PA      | $9917330.63   | 0.03%             | 2037-08-17      | Fixed         | 2.79%                 | 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        |    244912 | PA      | $224342.62    | 0.00%             | 2034-06-20      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                          | Bridge Trust, Series 2022-SFR1, Class D                                                                                  | CUSIP: 10805VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17966000 | PA      | $15835200.24  | 0.05%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518846 | PA      | $520680.59    | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3423, Class PB                                                                                      | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1198136 | PA      | $1234891.45   | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  17528000 | PA      | $16577161.56  | 0.05%             | 2030-01-23      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class AM                                          | CUSIP: 3137H7ZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27000000 | PA      | $23700443.40  | 0.07%             | 2054-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   5160000 | PA      | $4948892.17   | 0.02%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3843 | NC      | $2881295.29   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Telekom International Finance BV                             | Deutsche Telekom International Finance BV                                                                                | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |   2087000 | PA      | $1887314.90   | 0.01%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371ML88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78127 | PA      | $78432.82     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33900000 | PA      | $27876345.61  | 0.09%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                       | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |   5822000 | PA      | $5282293.03   | 0.02%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                          | Sabine Pass Liquefaction LLC                                                                                             | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   3765000 | PA      | $3774377.52   | 0.01%             | 2025-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class SL                                                                                      | CUSIP: 31395V4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22268 | PA      | $22058.32     | 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        |   1114963 | PA      | $1088913.49   | 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        |    109326 | PA      | $104088.99    | 0.00%             | 2035-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121894 | PA      | $125104.49    | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEYK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $21733377.25  | 0.07%             | 2031-10-01      | Fixed         | 2.63%                 | 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        |   3716720 | PA      | $3554918.32   | 0.01%             | 2038-06-15      | Fixed         | 3.34%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241KN53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141286 | PA      | $149074.93    | 0.00%             | 2037-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                          | Discovery Communications LLC                                                                                             | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1950000 | PA      | $1642792.77   | 0.01%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR8, Class E1                                                                   | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  35000000 | PA      | $28854094.50  | 0.09%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  3 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2018-HOME, Class A                                                                     | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53745000 | PA      | $48567803.27  | 0.15%             | 2033-04-10      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| Hartford Financial Services Group, Inc. (The)                         | Hartford Financial Services Group, Inc. (The)                                                                            | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |   7410000 | PA      | $6049827.81   | 0.02%             | 2043-04-15      | Fixed         | 4.30%                 | 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        |    213106 | PA      | $220933.45    | 0.00%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                                 | 20 Times Square Trust, Series 2018-20TS, Class E                                                                         | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13399000 | PA      | $11315417.98  | 0.04%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21541640 | PA      | $22549676.44  | 0.07%             | 2072-02-20      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H20, Class FA                                                                                          | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10892135 | PA      | $10744320.81  | 0.03%             | 2065-08-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7558228 | PA      | $7501560.29   | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2021-2A, Class C                                                                          | CUSIP: 52604DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9780000 | PA      | $7427525.65   | 0.02%             | 2032-04-20      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5079 | PA      | $4414.31      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-75, Class SV                                                                                    | CUSIP: 31394FAV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30585 | PA      | $30006.02     | 0.00%             | 2035-09-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3632, Class BS                                                                                      | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1370197 | PA      | $1329365.21   | 0.00%             | 2040-02-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                   | CNA Financial Corp.                                                                                                      | CUSIP: 126117AS9<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |   2633000 | PA      | $2584211.09   | 0.01%             | 2024-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                    | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   8950000 | PA      | $6706556.57   | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1189000 | PA      | $1019321.56   | 0.00%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Cayman 3 Ltd.                                  | Mizuho Financial Group Cayman 3 Ltd.                                                                                     | CUSIP: 60688UAB2<br>LEI: 549300AM6U7J7ZZI1G88 | Long             | DBT              | CORP              | KY        |   5440000 | PA      | $5344908.80   | 0.02%             | 2024-03-27      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   5553000 | PA      | $4531271.27   | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   8535000 | PA      | $7131836.18   | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4190812 | PA      | $4117781.10   | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  14886000 | PA      | $9930314.10   | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 1A2                                                | CUSIP: 93362FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260263 | PA      | $226024.15    | 0.00%             | 2046-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31300LAQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132075 | PA      | $132820.75    | 0.00%             | 2036-11-01      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2500000 | PA      | $2425207.08   | 0.01%             | 2025-09-24      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6601000 | PA      | $6019808.35   | 0.02%             | 2025-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309211 | PA      | $316143.84    | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr Pepper, Inc.                                                                                                   | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |  13500000 | PA      | $11889718.65  | 0.04%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-23, Class FK                                                                                    | CUSIP: 31395B4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545039 | PA      | $533616.26    | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1573, Class PZ                                                                                      | CUSIP: 3133T0R71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6708 | PA      | $6721.17      | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4809, Class ZM                                                                                      | CUSIP: 3137FGPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26144570 | PA      | $24891991.25  | 0.08%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-137, Class WA                                                                                          | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2301648 | PA      | $2390258.47   | 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        |    891259 | PA      | $872711.09    | 0.00%             | 2042-09-16      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381TNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4439933 | PA      | $4342634.06   | 0.01%             | 2025-01-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403DRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95152 | PA      | $93452.15     | 0.00%             | 2036-08-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Arm Master Trust LLC Agricultural Loan Backed Notes                   | Arm Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A                                             | CUSIP: 04206RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31250000 | PA      | $28697831.25  | 0.09%             | 2027-11-15      | Fixed         | 2.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12362183 | PA      | $12184370.06  | 0.04%             | 2065-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                                 | USASF Receivables LLC, Series 2020-1A, Class B                                                                           | CUSIP: 90353QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5220681 | PA      | $5197300.00   | 0.02%             | 2024-05-15      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                              | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PCQ3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   6229000 | PA      | $6114699.97   | 0.02%             | 2035-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140JB2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50607330 | PA      | $48758759.44  | 0.15%             | 2059-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18593895 | PA      | $18113722.14  | 0.06%             | 2028-09-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1880550 | PA      | $1812061.79   | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371EX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1518 | PA      | $1532.78      | 0.00%             | 2024-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                     | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   7065000 | PA      | $4888953.22   | 0.02%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                                    | Puget Energy, Inc.                                                                                                       | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   6522000 | PA      | $5581490.36   | 0.02%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1YJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2818789 | PA      | $2773158.49   | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-96, Class SL                                                                                           | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525982 | PA      | $10101.91     | 0.00%             | 2038-12-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11997000 | PA      | $11709296.10  | 0.04%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4925000 | PA      | $4772055.65   | 0.01%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   3816000 | PA      | $2830919.75   | 0.01%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SK                                                                                            | CUSIP: 38375PQ95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66983 | PA      | $63147.20     | 0.00%             | 2037-11-20      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617Y9ZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19966394 | PA      | $19068482.99  | 0.06%             | 2052-02-20      | Fixed         | 4.00%                 | 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        |    167416 | PA      | $159225.15    | 0.00%             | 2035-06-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                                | Dell International LLC                                                                                                   | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5935065.96   | 0.02%             | 2029-10-01      | Fixed         | 5.30%                 | 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 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675667 | PA      | $27550.95     | 0.00%             | 2035-04-25      | Floating      | 0.96%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192816 | PA      | $201169.16    | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                      | Paramount Global                                                                                                         | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   6243000 | PA      | $4404560.61   | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617F7PT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25651147 | PA      | $26635443.09  | 0.08%             | 2072-06-20      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410KUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1113 | PA      | $1146.19      | 0.00%             | 2024-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class ZA                                                                                      | CUSIP: 3133T8U70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28236 | PA      | $28868.93     | 0.00%             | 2027-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK45                                                             | CUSIP: 12529YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13760000 | PA      | $12368010.88  | 0.04%             | 2025-02-28      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429400 | PA      | $443278.26    | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fn  aug32                                                             | Fn  aug32                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  33890000 | PA      | $33911181.25  | 0.11%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2021-B, Class A                                                          | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9461153 | PA      | $9324288.57   | 0.03%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2014-M3, Class A2                                                                                      | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5373154 | PA      | $5270172.21   | 0.02%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, 30 Year                                                                                                            | CUSIP: 3140QALK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5466559 | PA      | $5190999.07   | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   6841106 | PA      | $5865524.95   | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                              | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9380000 | PA      | $6629524.92   | 0.02%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9325000 | PA      | $9238505.31   | 0.03%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                           | Masco Corp.                                                                                                              | CUSIP: 574599BM7<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   3130000 | PA      | $2500326.95   | 0.01%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   4750000 | PA      | $3927463.16   | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142492 | PA      | $145519.36    | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M6ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122108 | PA      | $126127.74    | 0.00%             | 2038-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1793350 | PA      | $1732489.56   | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                   | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2400000 | PA      | $2959608.96   | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98897 | PA      | $104953.68    | 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        |    104435 | PA      | $102387.25    | 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        |   2077238 | PA      | $2117937.46   | 0.01%             | 2040-05-20      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| TCI Communications, Inc.                                              | TCI Communications, Inc.                                                                                                 | CUSIP: 872287AL1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1199000 | PA      | $1320436.09   | 0.00%             | 2028-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-84, Class WS                                                                                    | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214607 | PA      | $13306.39     | 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        |    142915 | PA      | $79234.06     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                        | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |   2201000 | PA      | $1833022.91   | 0.01%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356705 | PA      | $21565.55     | 0.00%             | 2036-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                                   | Take-Two Interactive Software, Inc.                                                                                      | CUSIP: 874054AF6<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   3599000 | PA      | $3470515.56   | 0.01%             | 2025-04-14      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43                                                                                              | CUSIP: 31395DC98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69988 | PA      | $60199.26     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                | Banc of America Alternative Loan Trust, Series 2004-6, Class 15PO                                                        | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8024 | PA      | $3288.09      | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44436300 | PA      | $42783825.09  | 0.13%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  16564000 | PA      | $15734541.47  | 0.05%             | 2033-01-15      | Fixed         | 4.25%                 | 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        |    384031 | PA      | $294942.75    | 0.00%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3286                                                                                                | CUSIP: 31397G4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10044 | PA      | $8327.05      | 0.00%             | 2037-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L1T33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3590822 | PA      | $3382434.14   | 0.01%             | 2027-11-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                          | UBS Group AG                                                                                                             | CUSIP: 902613AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  15100000 | PA      | $13126621.17  | 0.04%             | 2027-01-30      | Variable      | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                    | Aqua Finance Trust, Series 2017-A, Class A                                                                               | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934792 | PA      | $2886884.04   | 0.01%             | 2035-11-15      | Fixed         | 3.72%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440303 | PA      | $442324.84    | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Insurance Co.                                          | Liberty Mutual Insurance Co.                                                                                             | CUSIP: 53079QAB3<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1451777.66   | 0.00%             | 2025-05-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-71, Class ZL                                                                                    | CUSIP: 31396KUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1761243 | PA      | $1820323.69   | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8148188 | PA      | $7908024.46   | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T2, Class 1A4                                                               | CUSIP: 31393X7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056208 | PA      | $1100168.42   | 0.00%             | 2043-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4386544 | PA      | $3327147.66   | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JMHK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246023 | PA      | $254373.43    | 0.00%             | 2049-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225B2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53266 | PA      | $56828.21     | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                    | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7600000 | PA      | $7452997.68   | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2004-3, Class 3A1                                                                   | CUSIP: 576434NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059770 | PA      | $1023697.42   | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                           | Prologis LP                                                                                                              | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |   1814000 | PA      | $1725027.91   | 0.01%             | 2026-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3412 | PA      | $3411.69      | 0.00%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC Finance Corp.                                                    | HSBC Finance Corp.                                                                                                       | CUSIP: 441812JZ8<br>LEI: 213800NQZ5NL1KSD7V45 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $9456646.14   | 0.03%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |  20230000 | PA      | $14614699.42  | 0.05%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-103, Class WA                                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326980 | PA      | $335615.36    | 0.00%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13781000 | PA      | $12886628.81  | 0.04%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2223634 | PA      | $2204668.05   | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2005-AR6, Class 3A1                                                                      | CUSIP: 362341RZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26098 | PA      | $23281.51     | 0.00%             | 2035-09-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417G5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8887996 | PA      | $8155834.88   | 0.03%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-95, Class SG                                                                                    | CUSIP: 31396K4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91958 | PA      | $107250.60    | 0.00%             | 2036-10-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 265, Class 2                                                                                        | CUSIP: 31364HJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $330.92       | 0.00%             | 2024-03-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  64105857 | PA      | $58602908.45  | 0.18%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34130 | PA      | $33421.78     | 0.00%             | 2035-05-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Nited Mortgage Mezz  sep23                                            | Nited Mortgage Mezz  sep23                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  30000000 | PA      | $29250000.00  | 0.09%             | 2023-09-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX                                         | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21769000 | PA      | $20461697.54  | 0.06%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258997 | PA      | $1312382.04   | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                          | Diversified Abs Phase VI LLC, Series VI, Class A                                                                         | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |  49746184 | PA      | $48438461.29  | 0.15%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| Bear Stearns ARM Trust                                                | Bear Stearns ARM Trust, Series 2003-2, Class A5                                                                          | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    496157 | PA      | $477183.53    | 0.00%             | 2033-01-25      | Variable      | 2.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2830734 | PA      | $2719412.74   | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGH21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10561000 | PA      | $9569944.67   | 0.03%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                               | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169389 | PA      | $158758.28    | 0.00%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   7060000 | PA      | $5608869.39   | 0.02%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H06, Class FA                                                                                          | CUSIP: 38375UUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9559429 | PA      | $9445187.62   | 0.03%             | 2065-02-20      | Floating      | 3.62%                 | 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        |    297680 | PA      | $272867.92    | 0.00%             | 2034-12-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H10, Class FA                                                                                          | CUSIP: 38375BRB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9087092 | PA      | $9013660.59   | 0.03%             | 2061-12-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2016-M1, Class A2                                                                                      | CUSIP: 3136AQV80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  52236548 | PA      | $49577300.50  | 0.15%             | 2026-01-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                    | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  25095000 | PA      | $23048130.59  | 0.07%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200160 | PA      | $1171566.50   | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                                 | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2846605.92   | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400CEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6892 | PA      | $7144.05      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SB                                                                                    | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423757 | PA      | $32080.89     | 0.00%             | 2040-04-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41031 | PA      | $40312.43     | 0.00%             | 2037-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                                     | Safehold Operating Partnership LP                                                                                        | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $9311943.24   | 0.03%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10990000 | PA      | $9404893.18   | 0.03%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                   | CF Industries, Inc.                                                                                                      | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3405263.85   | 0.01%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BS8<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1159308.53   | 0.00%             | 2027-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class C                                                                    | CUSIP: 74333YAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14649000 | PA      | $12274074.82  | 0.04%             | 2041-02-17      | Fixed         | 3.46%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1574334 | PA      | $1621184.92   | 0.01%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48301466 | PA      | $41629793.82  | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | 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        |  29810000 | PA      | $28558933.92  | 0.09%             | 2039-06-15      | Floating      | 5.83%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134539 | PA      | $59193.91     | 0.00%             | 2039-04-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2020-1A, Class A                                                                     | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12966660 | PA      | $11752202.53  | 0.04%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  22360000 | PA      | $20325584.57  | 0.06%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 1999-T2, Class A1                                                                | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321253 | PA      | $324095.33    | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-7, Class JM                                                                                            | CUSIP: 38374KF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5976 | PA      | $5930.65      | 0.00%             | 2034-05-18      | Floating      | 8.17%                 | 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        |    672740 | PA      | $631853.14    | 0.00%             | 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        |   1931977 | PA      | $1968998.63   | 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        |     76087 | PA      | $66311.28     | 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        |        77 | PA      | $77.43        | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3531, Class SA                                                                                      | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502690 | PA      | $10556.83     | 0.00%             | 2039-05-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                   | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO2                                                            | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       898 | PA      | $815.56       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5584000 | PA      | $4414377.20   | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFGE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185283 | PA      | $185109.52    | 0.00%             | 2036-10-01      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128LUSW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21981 | PA      | $21579.99     | 0.00%             | 2037-07-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2271941 | PA      | $2190184.24   | 0.01%             | 2045-10-01      | Fixed         | 4.00%                 | 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        |    569748 | PA      | $548034.68    | 0.00%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1720, Class PL                                                                                      | CUSIP: 3133T5DV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10951 | PA      | $10993.81     | 0.00%             | 2024-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-86, Class OT                                                                                    | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2448291 | PA      | $1991701.99   | 0.01%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                      | Credit Suisse AG                                                                                                         | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   4326000 | PA      | $3979928.09   | 0.01%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                             | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5243680.68   | 0.02%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-74, Class SL                                                                                           | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    710622 | PA      | $52021.88     | 0.00%             | 2037-11-16      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                       | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |   4250000 | PA      | $4841962.23   | 0.02%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M11, Class A2                                                                                     | CUSIP: 3136AX3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14669379 | PA      | $13492162.80  | 0.04%             | 2029-08-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                                 | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |   9620000 | PA      | $6252446.75   | 0.02%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LHTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26680000 | PA      | $24490569.30  | 0.08%             | 2032-04-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72400 | PA      | $74490.71     | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TSMC Arizona Corp.                                                    | TSMC Arizona Corp.                                                                                                       | CUSIP: 872898AJ0<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |  13000000 | PA      | $11793860.00  | 0.04%             | 2052-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                 | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   9690000 | PA      | $7688348.13   | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-20, Class IB                                                                                    | CUSIP: 31359N4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2388 | PA      | $21.83        | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2020-H11                                                                                                    | CUSIP: 38380QDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24704598 | PA      | $1329104.92   | 0.00%             | 2070-06-20      | Variable      | 0.29%                 | 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        |  41036439 | PA      | $40699939.83  | 0.13%             | 2028-06-05      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| Capital One Financial Corp.                                           | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2909012.64   | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                    | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |   3507000 | PA      | $3766978.89   | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C                                                               | CUSIP: 22536BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $11203468.80  | 0.03%             | 2030-02-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748115 | PA      | $818649.77    | 0.00%             | 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        |   1555015 | PA      | $77566.04     | 0.00%             | 2038-12-20      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2022-SFR3, Class D                                                                          | CUSIP: 33768EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7187000 | PA      | $6184405.23   | 0.02%             | 2026-07-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7463000 | PA      | $7590026.75   | 0.02%             | 2032-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39754 | PA      | $40765.85     | 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        |  40900000 | PA      | $39366250.00  | 0.12%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1893947 | PA      | $1876371.51   | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A1                                                                | CUSIP: 31392B6T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6544639 | PA      | $6767504.47   | 0.02%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69651211 | PA      | $59872236.03  | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                                       | MVW Owner Trust, Series 2019-1A, Class A                                                                                 | CUSIP: 55389PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5522165 | PA      | $5214828.13   | 0.02%             | 2036-11-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40158000 | PA      | $38895219.24  | 0.12%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-81, Class JG                                                                                    | CUSIP: 31394BCE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218908 | PA      | $216921.87    | 0.00%             | 2024-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    698000 | PA      | $647783.79    | 0.00%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2022-3A, Class D                                                             | CUSIP: 30166YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  39700000 | PA      | $38613518.19  | 0.12%             | 2028-09-15      | Fixed         | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65781 | PA      | $67737.56     | 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        |   9140619 | PA      | $110766.03    | 0.00%             | 2039-05-25      | Variable      | 0.56%                 | Yes           |                  3 | On Loan: No      |
| Becton Dickinson and Co.                                              | Becton Dickinson and Co.                                                                                                 | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2098000 | PA      | $1631720.30   | 0.01%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343354 | PA      | $337710.42    | 0.00%             | 2036-01-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-147, Class BE                                                                                          | CUSIP: 38378UNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3874000 | PA      | $3733505.13   | 0.01%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31298GDU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478395 | PA      | $493078.34    | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27103740 | PA      | $25176257.22  | 0.08%             | 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        |   2005831 | PA      | $1672724.34   | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                      | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |  11100000 | PA      | $7310832.41   | 0.02%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-72, Class AZ                                                                                           | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600625 | PA      | $609394.70    | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12946000 | PA      | $10728491.83  | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1031828 | PA      | $89321.99     | 0.00%             | 2037-10-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |  11985000 | PA      | $12487667.92  | 0.04%             | 2039-10-01      | Fixed         | 6.25%                 | 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        |   5031468 | PA      | $4975185.00   | 0.02%             | 2045-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                        | Public Storage                                                                                                           | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   9333000 | PA      | $7547867.85   | 0.02%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27020 | PA      | $27478.44     | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                        | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAC3<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   5300000 | PA      | $5155253.56   | 0.02%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                       | Goodgreen Trust, Series 2016-1A, Class A                                                                                 | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9237881 | PA      | $8357054.20   | 0.03%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAW8<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   1551000 | PA      | $1419535.02   | 0.00%             | 2028-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744452 | PA      | $717873.55    | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                                | Jonah Energy Abs I LLC, Series 2022-1, Class A1                                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |  37455000 | PA      | $37192642.71  | 0.12%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1835379.12   | 0.01%             | 2042-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Continental Airlines Pass-Through Trust                               | Continental Airlines Pass-Through Trust, Series 2012-2, Class A                                                          | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15505609 | PA      | $14762125.85  | 0.05%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-75, Class ZX                                                                                           | CUSIP: 38374CDG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518396 | PA      | $526820.48    | 0.00%             | 2033-09-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                    | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  24223000 | PA      | $21228875.39  | 0.07%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8000000 | PA      | $8336030.16   | 0.03%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                             | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  34388000 | PA      | $28516936.76  | 0.09%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                      | National Retail Properties, Inc.                                                                                         | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |   5527000 | PA      | $5170828.07   | 0.02%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339659 | PA      | $365590.91    | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371NGL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110353 | PA      | $112821.14    | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HYCH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364925 | PA      | $1400105.60   | 0.00%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2294993.23   | 0.01%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263614 | PA      | $24873.60     | 0.00%             | 2036-10-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LEZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26665000 | PA      | $21548216.35  | 0.07%             | 2032-01-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $2784636.68   | 0.01%             | 2039-01-24      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                          | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   5835000 | PA      | $4809255.61   | 0.02%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  17663000 | PA      | $17556241.12  | 0.05%             | 2025-09-12      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class AP                                                  | CUSIP: 2254586K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37929 | PA      | $27042.82     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  3 | 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        |   3763914 | PA      | $275432.69    | 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        |    180142 | PA      | $176485.33    | 0.00%             | 2035-05-25      | Floating      | 9.09%                 | 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        |    436350 | PA      | $376615.00    | 0.00%             | 2034-09-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2070, Class C                                                                                       | CUSIP: 3133TEMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39984 | PA      | $40691.91     | 0.00%             | 2028-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                           | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $6856009.80   | 0.02%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                             | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |  11205000 | PA      | $8545913.44   | 0.03%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386748 | PA      | $402079.65    | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | 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        |  44581743 | PA      | $40441271.79  | 0.13%             | 2066-04-28      | Variable      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                    | Regional Management Issuance Trust, Series 2020-1, Class A                                                               | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16100000 | PA      | $14891310.21  | 0.05%             | 2030-10-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| Appalachian Power Co.                                                 | Appalachian Power Co., Series P                                                                                          | CUSIP: 037735CK1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   3740000 | PA      | $3984614.70   | 0.01%             | 2037-08-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-29, Class SG                                                                                    | CUSIP: 31396VQJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186952 | PA      | $204747.14    | 0.00%             | 2037-04-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4923000 | PA      | $4211741.11   | 0.01%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26016 | PA      | $26877.34     | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8521614 | PA      | $8020537.62   | 0.03%             | 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        |    266904 | PA      | $240442.46    | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2700129 | PA      | $2623654.43   | 0.01%             | 2037-07-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                     | Lowe's Cos., Inc.                                                                                                        | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2064683.63   | 0.01%             | 2030-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                       | Halliburton Co.                                                                                                          | CUSIP: 406216AS0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |   2242000 | PA      | $2126519.87   | 0.01%             | 2096-08-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1706, Class K                                                                                       | CUSIP: 3133T4UA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27026 | PA      | $27065.92     | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |  12800000 | PA      | $11799208.06  | 0.04%             | 2028-04-06      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   6367000 | PA      | $5194593.80   | 0.02%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-32, Class PG                                                                                    | CUSIP: 31359PMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50075 | PA      | $50942.06     | 0.00%             | 2027-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                           | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68485 | PA      | $66003.29     | 0.00%             | 2034-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-117, Class GS                                                                                   | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547291 | PA      | $32933.43     | 0.00%             | 2036-12-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2020-SFR2, Class A                                                                    | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27421126 | PA      | $25138648.85  | 0.08%             | 2037-06-17      | Fixed         | 2.08%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                               | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   3780000 | PA      | $3581857.20   | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13398000 | PA      | $12898522.29  | 0.04%             | 2025-09-29      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189034 | PA      | $161036.88    | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5948 | PA      | $6038.82      | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1515, Class A2                                        | CUSIP: 3137FTZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $16769431.80  | 0.05%             | 2035-02-25      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                                           | CARS-DB4 LP, Series 2020-1A, Class A6                                                                                    | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5956250 | PA      | $4936648.40   | 0.02%             | 2050-02-15      | Fixed         | 3.81%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2019-AA, Class A                                                                  | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23776310 | PA      | $23412130.38  | 0.07%             | 2032-07-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K118, Class XAM                                         | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21864540 | PA      | $1600189.16   | 0.00%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHSG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511635 | PA      | $508203.57    | 0.00%             | 2036-12-01      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418VUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2369010 | PA      | $2422563.62   | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406UU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112729 | PA      | $110523.83    | 0.00%             | 2035-03-01      | Variable      | 3.03%                 | 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        |   2464037 | PA      | $2428146.12   | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                    | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  12780000 | PA      | $11368861.79  | 0.04%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4819000 | PA      | $4185766.05   | 0.01%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2722, Class PF                                                                                      | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760736 | PA      | $757038.45    | 0.00%             | 2033-12-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-7, Class SP                                                                                            | CUSIP: 38375PQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95797 | PA      | $87288.02     | 0.00%             | 2037-10-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJFT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    631870 | PA      | $635375.70    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PMC PLS ESR Issuer LLC                                                | PMC PLS ESR Issuer LLC, Series 2022-PLS1, Class A                                                                        | CUSIP: 69375JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19446568 | PA      | $18416833.34  | 0.06%             | 2027-02-25      | Variable      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                      | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   6154000 | PA      | $5948717.08   | 0.02%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                                | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |  16000000 | PA      | $12189815.52  | 0.04%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JNLN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2891137 | PA      | $2982762.29   | 0.01%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283618 | PA      | $282682.87    | 0.00%             | 2036-03-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2110, Class PG                                                                                      | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269612 | PA      | $274353.77    | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  15385000 | PA      | $14308556.47  | 0.04%             | 2028-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-27, Class SD                                                                                           | CUSIP: 38375JJ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702991 | PA      | $25650.58     | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $22829112.75  | 0.07%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                                | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  23775000 | PA      | $18831285.94  | 0.06%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MedStar Health, Inc.                                                  | MedStar Health, Inc., Series 20A                                                                                         | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |   7365000 | PA      | $5311599.78   | 0.02%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                    | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |   1332000 | PA      | $1312819.20   | 0.00%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53088 | PA      | $58737.06     | 0.00%             | 2031-10-25      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| SART                                                                  | SART CRR                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3645694 | PA      | $3588821.52   | 0.01%             | 2027-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  46536772 | PA      | $41787564.35  | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    834411 | PA      | $1100.17      | 0.00%             | 2038-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-76, Class US                                                                                           | CUSIP: 38375DUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    858616 | PA      | $29987.34     | 0.00%             | 2038-09-20      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-H19, Class FA                                                                                          | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1175033 | PA      | $1164812.27   | 0.00%             | 2061-08-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 197                                                                                                | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215230 | PA      | $196456.37    | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                              | Resolution Funding Corp. STRIPS                                                                                          | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  30700000 | PA      | $22523749.74  | 0.07%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | 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        |     17670 | PA      | $16548.58     | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9AZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7620342 | PA      | $6966183.00   | 0.02%             | 2030-02-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                        | Carvana Auto Receivables Trust, Series 2019-4A, Class C                                                                  | CUSIP: 14686YAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3313302 | PA      | $3303513.83   | 0.01%             | 2025-01-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   8840000 | PA      | $7802921.61   | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                             | EQT Corp.                                                                                                                | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   4517000 | PA      | $4181439.57   | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8QG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6107687 | PA      | $5881390.79   | 0.02%             | 2025-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  12565000 | PA      | $11972810.80  | 0.04%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1994-62, Class PK                                                                                    | CUSIP: 31359HVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119149 | PA      | $119000.24    | 0.00%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33249 | PA      | $34437.61     | 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        |     36725 | PA      | $36941.69     | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                   | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   7650000 | PA      | $6508851.87   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Digital Realty Trust LP                                               | Digital Realty Trust LP                                                                                                  | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |   2507000 | PA      | $2338633.49   | 0.01%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207458 | PA      | $203339.06    | 0.00%             | 2033-11-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-46                                                                                                     | CUSIP: 38374G5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284629 | PA      | $259492.13    | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-69, Class WA                                                                                    | CUSIP: 31396Q5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535792 | PA      | $549297.01    | 0.00%             | 2039-09-25      | Variable      | 6.03%                 | 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        |    189078 | PA      | $172042.57    | 0.00%             | 2034-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31409GMT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24068 | PA      | $24915.84     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class QS                                                                                    | CUSIP: 3139214L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93589 | PA      | $99121.75     | 0.00%             | 2031-09-25      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                    | Regional Management Issuance Trust, Series 2022-2B, Class B                                                              | CUSIP: 75907JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12148148.40  | 0.04%             | 2032-11-17      | Fixed         | 8.51%                 | Yes           |                  3 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   4405000 | PA      | $4225099.80   | 0.01%             | 2025-03-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-76, Class AZ                                                                                    | CUSIP: 31396WT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160673 | PA      | $161985.17    | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3095000 | PA      | $2982689.01   | 0.01%             | 2025-03-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415096 | PA      | $435220.78    | 0.00%             | 2034-05-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2003-9, Class 2A1                                                                   | CUSIP: 576434KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189605 | PA      | $182965.57    | 0.00%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31417GYA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1709641 | PA      | $1647659.73   | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-CB11, Class X1                                          | CUSIP: 46625YJP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6809132 | PA      | $25.19        | 0.00%             | 2037-08-12      | Variable      | 0.20%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60253 | PA      | $62806.76     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 154890000 | PA      | $127197362.50 | 0.40%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1724000 | PA      | $1445878.85   | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578DAX0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   4230000 | PA      | $3911365.48   | 0.01%             | 2026-12-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                      | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |  27400000 | PA      | $23411548.87  | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61325 | PA      | $60164.51     | 0.00%             | 2034-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A                                                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38420000 | PA      | $36440017.62  | 0.11%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  27601000 | PA      | $25199109.64  | 0.08%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241379 | PA      | $245202.04    | 0.00%             | 2037-02-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| RFLF 1 Issuer LLC                                                     | RFLF 1 Issuer LLC, Series 2018-1A, Class A                                                                               | CUSIP: 76205TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  39792216 | PA      | $39637026.05  | 0.12%             | 2049-06-12      | Fixed         | 5.25%                 | Yes           |                  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        |  98472946 | PA      | $79494058.32  | 0.25%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9579187 | PA      | $8802741.00   | 0.03%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  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        |     23905 | PA      | $23253.75     | 0.00%             | 2037-02-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  14187000 | PA      | $11722929.06  | 0.04%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2959 | PA      | $2970.28      | 0.00%             | 2025-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-41, Class W                                                                                            | CUSIP: 38379AX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1513573 | PA      | $1503332.28   | 0.00%             | 2042-10-20      | Variable      | 4.69%                 | 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        |   2743745 | PA      | $38211.59     | 0.00%             | 2035-09-25      | Variable      | 0.53%                 | Yes           |                  3 | On Loan: No      |
| Drive Auto Receivables Trust                                          | Drive Auto Receivables Trust, Series 2019-4, Class D                                                                     | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11603422 | PA      | $11392408.10  | 0.04%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77499 | PA      | $59373.76     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2015-CR24, Class A5                                                                    | CUSIP: 12593JBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9250000 | PA      | $8788966.13   | 0.03%             | 2048-08-10      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                 | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   3330000 | PA      | $2239278.38   | 0.01%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                        | Office Properties Income Trust                                                                                           | CUSIP: 81618TAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  11000000 | PA      | $10054840.51  | 0.03%             | 2024-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33581 | PA      | $34981.62     | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371MWM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136280 | PA      | $140335.20    | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                            | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |   1478000 | PA      | $1183286.70   | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K082, Class AM                                          | CUSIP: 3137FJKF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12035000 | PA      | $11698367.81  | 0.04%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                            | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class B                                                      | CUSIP: 58940BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8740000 | PA      | $8066688.75   | 0.03%             | 2026-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24999000 | PA      | $21778565.82  | 0.07%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L5G20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4656 | PA      | $4562.42      | 0.00%             | 2023-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-121, Class DX                                                                                   | CUSIP: 31394VBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122998 | PA      | $122261.36    | 0.00%             | 2026-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                             | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   4715000 | PA      | $4480890.25   | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  25312000 | PA      | $17754060.56  | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | 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        |    295637 | PA      | $274459.41    | 0.00%             | 2035-02-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6559424 | PA      | $6125777.26   | 0.02%             | 2029-04-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81017 | PA      | $82906.84     | 0.00%             | 2037-05-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                        | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $879306.51    | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                   | Valero Energy Corp.                                                                                                      | CUSIP: 91913YBB5<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |   9072000 | PA      | $8016840.22   | 0.03%             | 2027-09-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31390MLR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4187 | PA      | $4155.49      | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115488 | PA      | $120464.45    | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Beth Israel Lahey Health, Inc.                                        | Beth Israel Lahey Health, Inc., Series L                                                                                 | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $2673222.53   | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  20470000 | PA      | $15619717.22  | 0.05%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                        | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |   7600000 | PA      | $6747280.00   | 0.02%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7262883 | PA      | $7192962.67   | 0.02%             | 2065-12-20      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51180 | PA      | $51761.50     | 0.00%             | 2033-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2695000 | PA      | $2577294.04   | 0.01%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85000000 | PA      | $78731250.00  | 0.25%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LF3G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36743000 | PA      | $32970460.61  | 0.10%             | 2032-05-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                               | CenterPoint Energy Houston Electric LLC                                                                                  | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |   1066000 | PA      | $882827.79    | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | 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        |  25451307 | PA      | $22833276.45  | 0.07%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  3 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BJ9<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2780000 | PA      | $2750945.78   | 0.01%             | 2024-06-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                              | Foundation Finance Trust, Series 2019-1A, Class C                                                                        | CUSIP: 35041JAC9<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |  18930000 | PA      | $18131761.65  | 0.06%             | 2034-11-15      | Fixed         | 5.66%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19145000 | PA      | $18039920.35  | 0.06%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZN7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5469000 | PA      | $4142968.32   | 0.01%             | 2043-02-24      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930065 | PA      | $68928.87     | 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        |   1023222 | PA      | $1036384.78   | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2012-108, Class F                                                                                    | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1753902 | PA      | $1717873.29   | 0.01%             | 2042-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  30497000 | PA      | $26038826.55  | 0.08%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ17, Class A2                                          | CUSIP: 3137FBTG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16546506 | PA      | $15951797.94  | 0.05%             | 2025-11-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18180000 | PA      | $15873412.50  | 0.05%             | 2043-02-15      | Fixed         | 3.12%                 | 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        |    486234 | PA      | $461202.85    | 0.00%             | 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        |  40795000 | PA      | $35130553.06  | 0.11%             | 2055-06-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  49969000 | PA      | $45564393.05  | 0.14%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  26475000 | PA      | $25672797.70  | 0.08%             | 2024-02-16      | Fixed         | 3.25%                 | 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        |    270267 | PA      | $271165.98    | 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        |  81600000 | PA      | $71899840.80  | 0.22%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  3 | On Loan: No      |
| Vodafone Group plc                                                    | Vodafone Group plc                                                                                                       | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   7449000 | PA      | $6689689.09   | 0.02%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-74, Class SW                                                                                    | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70591 | PA      | $71993.91     | 0.00%             | 2031-11-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                        | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |  10518000 | PA      | $10462778.50  | 0.03%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302520 | PA      | $25482.58     | 0.00%             | 2037-03-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11200000 | PA      | $8523643.63   | 0.03%             | 2032-02-13      | Variable      | 1.79%                 | 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        |  39447623 | PA      | $34469609.32  | 0.11%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2988, Class AF                                                                                      | CUSIP: 31395UVT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385218 | PA      | $378231.44    | 0.00%             | 2035-06-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-20, Class SA                                                                                    | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359920 | PA      | $35803.60     | 0.00%             | 2038-03-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-76, Class SB                                                                                           | CUSIP: 38375LR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1238946 | PA      | $28138.70     | 0.00%             | 2037-11-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SXU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1486451 | PA      | $1420330.50   | 0.00%             | 2045-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5215000 | PA      | $4987352.37   | 0.02%             | 2026-01-23      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2874500 | PA      | $386260.95    | 0.00%             | 2037-07-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                           | Rogers Communications, Inc.                                                                                              | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $8852910.40   | 0.03%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63487 | PA      | $65941.41     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118649 | PA      | $115802.05    | 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        |   5633928 | PA      | $2991041.47   | 0.01%             | 2035-05-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-31, Class TS                                                                                           | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429809 | PA      | $6771.95      | 0.00%             | 2039-03-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283GHW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       860 | PA      | $867.41       | 0.00%             | 2024-08-01      | Fixed         | 8.00%                 | 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        |     18735 | PA      | $18171.74     | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  16470000 | PA      | $11386525.94  | 0.04%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    844000 | PA      | $804965.30    | 0.00%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |  17150000 | PA      | $11929856.76  | 0.04%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2018-H09, Class FE                                                                                          | CUSIP: 38380LEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2731638 | PA      | $2660066.34   | 0.01%             | 2068-06-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280AM1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   3835000 | PA      | $3952175.63   | 0.01%             | 2042-01-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-49, Class Z                                                                                            | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1168721 | PA      | $1197366.11   | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45463 | PA      | $45339.44     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-3, Class D                                                                   | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  42196044 | PA      | $34975917.25  | 0.11%             | 2041-01-17      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7560 | PA      | $7771.96      | 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        |   3129018 | PA      | $117447.39    | 0.00%             | 2035-04-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                                                               | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118502 | PA      | $122289.13    | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $2940335.30   | 0.01%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130473 | PA      | $136985.37    | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333984 | PA      | $315293.40    | 0.00%             | 2035-06-17      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| VM Master Issuer LLC                                                  | VM Master Issuer LLC, Series 2022-1, Class A1                                                                            | CUSIP: 92859MAA8<br>LEI: 549300DTHP15ZDVADB72 | Long             | ABS-MBS          | CORP              | US        |  47353000 | PA      | $44613155.42  | 0.14%             | 2025-05-24      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81272 | PA      | $83283.24     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189603 | PA      | $1163970.13   | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444524 | PA      | $442595.56    | 0.00%             | 2041-08-25      | Floating      | 4.57%                 | 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        |     12659 | PA      | $9276.19      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5431000 | PA      | $4562252.13   | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189603 | PA      | $195245.92    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5955725 | PA      | $5724781.30   | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                          | VMware, Inc.                                                                                                             | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   8800000 | PA      | $8584799.08   | 0.03%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CART                                                                  | CART                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1048575 | PA      | $1045324.32   | 0.00%             | 2024-10-15      | Fixed         | 3.25%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17360 | PA      | $14565.47     | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Two Harbors                                                           | Two Harbors                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        | 102150000 | PA      | $102150000.00 | 0.32%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617BFRA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1521563 | PA      | $1469293.72   | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91200 | PA      | $95868.56     | 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        |    547031 | PA      | $547252.36    | 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        |     61897 | PA      | $2318.05      | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198678 | PA      | $222672.10    | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YXD70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35131830 | PA      | $36309027.10  | 0.11%             | 2072-05-20      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363941 | PA      | $364070.11    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Albemarle Corp.                                                       | Albemarle Corp.                                                                                                          | CUSIP: 012725AD9<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3519920.89   | 0.01%             | 2044-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4374000 | PA      | $4303751.11   | 0.01%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7724351 | PA      | $7656735.03   | 0.02%             | 2052-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                                | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4                                                         | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   2357000 | PA      | $2336918.83   | 0.01%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Trinity Health Corp.                                                  | Trinity Health Corp., Series 2019                                                                                        | CUSIP: 896517AA7<br>LEI: TWSRHFGEDJDX0GKMGJ67 | Long             | DBT              | CORP              | US        |  20450000 | PA      | $15160783.78  | 0.05%             | 2048-12-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-115, Class OK                                                                                   | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140047 | PA      | $113938.56    | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-28, Class QS                                                                                    | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130891 | PA      | $137100.30    | 0.00%             | 2038-04-25      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FA                                                                                          | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156039 | PA      | $152514.78    | 0.00%             | 2060-03-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33576248 | PA      | $32100000.38  | 0.10%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154744 | PA      | $166751.27    | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Holdings LLC                                             | Baker Hughes Holdings LLC                                                                                                | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |   3910000 | PA      | $3662486.25   | 0.01%             | 2040-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                         | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S3, Class 1A5                                                 | CUSIP: 92922FUU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55374 | PA      | $53328.59     | 0.00%             | 2034-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                                | Accelerated Assets LLC, Series 2018-1, Class A                                                                           | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5975344 | PA      | $5717641.03   | 0.02%             | 2033-12-02      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2196, Class TL                                                                                      | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       330 | PA      | $349.38       | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5855850 | PA      | $5434104.40   | 0.02%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13086 | PA      | $13317.50     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                    | Tricolor Auto Securitization Trust, Series 2022-1A, Class B                                                              | CUSIP: 89616BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3367000 | PA      | $3284108.50   | 0.01%             | 2025-05-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45675000 | PA      | $40727469.84  | 0.13%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                | Merrill Lynch Mortgage Investors Trust, Series 2004-C, Class A2                                                          | CUSIP: 59020UDP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183283 | PA      | $174910.17    | 0.00%             | 2029-07-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77108 | PA      | $79866.62     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5886 | PA      | $5830.55      | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404834 | PA      | $342817.08    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126682 | PA      | $15841.07     | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1640000 | PA      | $1596708.77   | 0.00%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41718 | PA      | $42679.82     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9BS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3652502 | PA      | $3543991.84   | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6Y1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4632705 | PA      | $4600852.53   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6055000 | PA      | $5928764.33   | 0.02%             | 2026-10-22      | Fixed         | 4.25%                 | 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        |   8924000 | PA      | $8012244.74   | 0.03%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                    | Royalty Pharma plc                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   3601000 | PA      | $3227721.74   | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HAA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    611740 | PA      | $615177.28    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2003-QS12, Class A2A                                                                                  | CUSIP: 76110HDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53 | PA      | $0.01         | 0.00%             | 2018-06-25      | Floating      | 4.01%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A2                                          | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13531000 | PA      | $13221257.82  | 0.04%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  26190000 | PA      | $25145904.22  | 0.08%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4829 | NC      | $4215873.24   | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13511171 | PA      | $12753187.10  | 0.04%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2710, Class HB                                                                                      | CUSIP: 31394MHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16569 | PA      | $16496.62     | 0.00%             | 2023-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20518 | PA      | $1287.87      | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-33, Class LS                                                                                    | CUSIP: 31395DKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83339 | PA      | $96844.45     | 0.00%             | 2036-05-25      | Floating      | 12.08%                | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8700243 | PA      | $7469614.37   | 0.02%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 15 Year                                                                                                | CUSIP: 3128MCGL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       721 | PA      | $719.36       | 0.00%             | 2024-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Claremont Mckenna College                                             | Claremont Mckenna College, Series 2019                                                                                   | CUSIP: 18013RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  10000000 | PA      | $7095488.20   | 0.02%             | 2050-01-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11086914 | PA      | $11027845.94  | 0.03%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                 | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   2199000 | PA      | $2124797.85   | 0.01%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FB                                                                                          | CUSIP: 38375BQN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2531420 | PA      | $2513340.33   | 0.01%             | 2062-03-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103277 | PA      | $83602.89     | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44263 | PA      | $46352.60     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410FYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223866 | PA      | $235030.93    | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KMLZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14744370 | PA      | $12697504.90  | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                              | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |   4476000 | PA      | $3110561.20   | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  17658000 | PA      | $16425306.50  | 0.05%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3645, Class KZ                                                                                      | CUSIP: 31398VFA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243959 | PA      | $250149.36    | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                           | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1                                                                   | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9747174 | PA      | $9407317.10   | 0.03%             | 2060-06-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                     | Lowe's Cos., Inc.                                                                                                        | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3358489.76   | 0.01%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AK58                                                             | CUSIP: 12529YAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28730000 | PA      | $24868429.43  | 0.08%             | 2029-09-29      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M3, Class A2                                                                                      | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40500000 | PA      | $32513290.65  | 0.10%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1151291 | PA      | $1158049.60   | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OL SP LLC                                                             | OL SP LLC, Series 2018, Class B                                                                                          | CUSIP: 67090UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    431156 | PA      | $421894.67    | 0.00%             | 2030-02-09      | Fixed         | 4.61%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3042096 | PA      | $361968.92    | 0.00%             | 2041-01-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1382697 | PA      | $105948.60    | 0.00%             | 2038-01-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   8020000 | PA      | $5721685.26   | 0.02%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                        | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                                               | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  46466664 | PA      | $41444198.87  | 0.13%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410BFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71555 | PA      | $70636.68     | 0.00%             | 2036-06-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  13850000 | PA      | $12199279.99  | 0.04%             | 2026-01-08      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-9, Class NZ                                                                                     | CUSIP: 31392HA45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87706 | PA      | $91160.81     | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                    | Banco Santander SA                                                                                                       | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  14200000 | PA      | $14110009.49  | 0.04%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3                                                                       | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123975 | PA      | $209636.00    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-61, Class SH                                                                                    | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28892 | PA      | $29532.95     | 0.00%             | 2032-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198928 | PA      | $206813.62    | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                  | Charter Communications Operating LLC                                                                                     | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7800000 | PA      | $5285513.45   | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572629 | PA      | $579615.62    | 0.00%             | 2035-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-65, Class MT                                                                                    | CUSIP: 31396QH93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295544 | PA      | $300452.34    | 0.00%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-99, Class Z                                                                                     | CUSIP: 31359A5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13901 | PA      | $13888.54     | 0.00%             | 2023-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MBBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759856 | PA      | $1777988.64   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multifamily Structured Pass-Through Certificates, Series K-150, Class AM                                          | CUSIP: 3137H9CA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25000000 | PA      | $23138482.50  | 0.07%             | 2032-09-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-34                                                                                                     | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36324 | PA      | $31296.07     | 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        |    153679 | PA      | $132784.86    | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                     | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |  16092724 | PA      | $12831936.20  | 0.04%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   6726000 | PA      | $6383451.82   | 0.02%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern                                                  | Kansas City Southern                                                                                                     | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2209225.25   | 0.01%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                                  | ERAC USA Finance LLC                                                                                                     | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   3104000 | PA      | $2944235.01   | 0.01%             | 2042-03-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAE47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8617967 | PA      | $7993726.21   | 0.02%             | 2030-06-01      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HVYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4610135 | PA      | $4094209.44   | 0.01%             | 2029-09-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4932000 | PA      | $4698539.24   | 0.01%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QJUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154098 | PA      | $150817.95    | 0.00%             | 2037-01-01      | Variable      | 2.16%                 | 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        |     13307 | PA      | $12763.49     | 0.00%             | 2034-07-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  54117000 | PA      | $37751658.78  | 0.12%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  13465000 | PA      | $10881622.74  | 0.03%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1193790 | PA      | $1226909.66   | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                     | NatWest Group plc                                                                                                        | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   4475000 | PA      | $3961651.18   | 0.01%             | 2028-05-22      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                              | Mid-Atlantic Interstate Transmission LLC                                                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12530000 | PA      | $11817604.97  | 0.04%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| American Water Capital Corp.                                          | American Water Capital Corp.                                                                                             | CUSIP: 03040WAD7<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   3354000 | PA      | $3716245.72   | 0.01%             | 2037-10-15      | Fixed         | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7217 | PA      | $7387.89      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                        | BNP Paribas SA                                                                                                           | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12958000 | PA      | $10744225.35  | 0.03%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L8FN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1740000 | PA      | $1680882.02   | 0.01%             | 2025-01-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                      | Credit Suisse AG                                                                                                         | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |  13686000 | PA      | $13040617.78  | 0.04%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475953 | PA      | $419473.04    | 0.00%             | 2033-08-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HU2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1145445 | PA      | $1178366.64   | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                        | Cascade Funding Mortgage Trust, Series 2021-FRR1, Class AKW1                                                             | CUSIP: 12529YBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16010000 | PA      | $13982317.49  | 0.04%             | 2026-01-29      | Variable      | 2.01%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                | Residential Asset Securitization Trust, Series 2003-A8, Class A5                                                         | CUSIP: 45660NRQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12155 | PA      | $12664.45     | 0.00%             | 2018-10-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H9DQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8359297 | PA      | $8095421.16   | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                               | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |  12320000 | PA      | $11966092.35  | 0.04%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                    | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6537448 | PA      | $5912599.15   | 0.02%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  15089000 | PA      | $12354118.75  | 0.04%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                   | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    950000 | PA      | $1046742.30   | 0.00%             | 2039-06-15      | Fixed         | 6.15%                 | 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        |  10000000 | PA      | $9387560.00   | 0.03%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153130 | PA      | $149944.52    | 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        |   7919645 | PA      | $7021720.40   | 0.02%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24490902 | PA      | $23587597.55  | 0.07%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-25, Class J                                                                                     | CUSIP: 31358TWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1039 | PA      | $1036.95      | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  32000000 | PA      | $28137314.24  | 0.09%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  12209000 | PA      | $10681987.16  | 0.03%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3213, Class OA                                                                                      | CUSIP: 31397B2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83855 | PA      | $70801.21     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G93-5, Class Z                                                                                       | CUSIP: 31358TPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.90       | 0.00%             | 2023-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1671, Class QC                                                                                      | CUSIP: 3133T36V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4021 | PA      | $4088.57      | 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        |   3386283 | PA      | $3187211.85   | 0.01%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LJU24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9605422 | PA      | $8679333.04   | 0.03%             | 2033-07-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                              | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   8564000 | PA      | $8039045.38   | 0.03%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                              | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   8375000 | PA      | $5131111.08   | 0.02%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                            | Shire Acquisitions Investments Ireland DAC                                                                               | CUSIP: 82481LAD1<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |  26941000 | PA      | $25384333.39  | 0.08%             | 2026-09-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  76730000 | PA      | $47392764.06  | 0.15%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LPBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9127709 | PA      | $8590373.92   | 0.03%             | 2033-07-01      | Fixed         | 3.89%                 | 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        |       845 | PA      | $870.36       | 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        |     50624 | PA      | $49216.55     | 0.00%             | 2024-09-25      | None          | 0.00%                 | 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        |    722793 | PA      | $698166.37    | 0.00%             | 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        |    770376 | PA      | $59550.43     | 0.00%             | 2038-02-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KLH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18651908 | PA      | $16036108.42  | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAS21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17838726 | PA      | $16115376.59  | 0.05%             | 2070-08-20      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                       | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   3725000 | PA      | $3824652.80   | 0.01%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSVG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48483 | PA      | $48498.07     | 0.00%             | 2036-05-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                   | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1021000 | PA      | $994337.96    | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138823 | PA      | $139561.21    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231961 | PA      | $239205.77    | 0.00%             | 2037-02-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                               | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21807000 | PA      | $20923700.49  | 0.07%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                             | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2773045.50   | 0.01%             | 2040-06-15      | Fixed         | 5.70%                 | 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        |    519118 | PA      | $515773.04    | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H20, Class LF                                                                                          | CUSIP: 38375UQR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6252364 | PA      | $6157567.68   | 0.02%             | 2064-10-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3779, Class GZ                                                                                      | CUSIP: 3137A4F51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6765010 | PA      | $6279336.85   | 0.02%             | 2040-12-15      | Fixed         | 4.50%                 | 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        |    506540 | PA      | $523742.73    | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                       | Virginia Electric and Power Co.                                                                                          | CUSIP: 927804FQ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1258898.00   | 0.00%             | 2024-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ED0<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    493000 | PA      | $527060.45    | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1209992 | PA      | $1183919.53   | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | 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        |    152408 | PA      | $117524.74    | 0.00%             | 2035-02-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| State Grid Overseas Investment BVI Ltd.                               | State Grid Overseas Investment BVI Ltd.                                                                                  | CUSIP: 857006AL4<br>LEI: 3003006V8BHG5158QO96 | Long             | DBT              | CORP              | VG        |   2000000 | PA      | $1990780.00   | 0.01%             | 2023-05-02      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                                             | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |  21358361 | PA      | $18383171.34  | 0.06%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5611240 | PA      | $5246599.01   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-27, Class SA                                                                                    | CUSIP: 31358TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $69.55        | 0.00%             | 2023-02-25      | Floating      | 15.50%                | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H24, Class FE                                                                                          | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83800 | PA      | $82059.85     | 0.00%             | 2062-10-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1927, Class PH                                                                                      | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60321 | PA      | $62229.18     | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   5010000 | PA      | $4554142.45   | 0.01%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Ecopetrol SA                                                          | Ecopetrol SA                                                                                                             | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |   3333000 | PA      | $3128020.50   | 0.01%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-35                                                                                                     | CUSIP: 38375KPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    949367 | PA      | $799400.88    | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  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        |   4450000 | PA      | $4404461.82   | 0.01%             | 2031-03-11      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357784 | PA      | $364323.15    | 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        |    126576 | PA      | $118704.71    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 163970365 | PA      | $156596090.89 | 0.49%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                          | Sabine Pass Liquefaction LLC                                                                                             | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |  19530000 | PA      | $18453457.77  | 0.06%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MA4J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27762897 | PA      | $25450000.32  | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KW07, Class B                                                                          | CUSIP: 30297NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4084380.50   | 0.01%             | 2031-10-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  70000000 | PA      | $53632031.60  | 0.17%             | 2046-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-43, Class FL                                                                                    | CUSIP: 31396VVL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199554 | PA      | $194791.59    | 0.00%             | 2037-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                                 | Walt Disney Co. (The)                                                                                                    | CUSIP: 254687DT0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   2690000 | PA      | $3050969.03   | 0.01%             | 2028-11-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                          | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   9770000 | PA      | $9638568.20   | 0.03%             | 2023-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                               | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class B                                                       | CUSIP: 52606YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  32938000 | PA      | $31952745.37  | 0.10%             | 2028-10-15      | Fixed         | 4.49%                 | Yes           |                  3 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   9600000 | PA      | $8936284.42   | 0.03%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                                 | Elevance Health, Inc.                                                                                                    | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   5485000 | PA      | $5292062.77   | 0.02%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LAL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7256247 | PA      | $6938186.19   | 0.02%             | 2027-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306952 | PA      | $335469.80    | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31374AUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       250 | PA      | $249.21       | 0.00%             | 2025-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78220000 | PA      | $65897294.73  | 0.21%             | 2048-02-15      | Fixed         | 3.00%                 | 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        |   1563505 | PA      | $813379.00    | 0.00%             | 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        |    899073 | PA      | $873237.20    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class D                                                                                    | CUSIP: 00178UAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15495000 | PA      | $14132628.47  | 0.04%             | 2037-07-17      | Fixed         | 3.28%                 | Yes           |                  3 | On Loan: No      |
| FREED ABS Trust                                                       | FREED ABS Trust, Series 2022-4FP, Class C                                                                                | CUSIP: 35634JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14500000 | PA      | $14566731.90  | 0.05%             | 2029-12-18      | Fixed         | 8.59%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class 4A                                           | CUSIP: 31394JY50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1837248 | PA      | $1892429.69   | 0.01%             | 2043-09-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29678439 | PA      | $30639652.26  | 0.10%             | 2072-02-20      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                   | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |   8095000 | PA      | $5826105.96   | 0.02%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  40051000 | PA      | $29680961.84  | 0.09%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-65, Class SA                                                                                           | CUSIP: 38374LK67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26894 | PA      | $24350.11     | 0.00%             | 2035-08-20      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617JMJW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36377726 | PA      | $37647650.62  | 0.12%             | 2072-04-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142996 | PA      | $120816.54    | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2020-KHG2, Class B                                                                          | CUSIP: 302983AE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13500000 | PA      | $11294587.35  | 0.04%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237575 | PA      | $246050.61    | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133AEQX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5194645 | PA      | $4463669.24   | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11320000 | PA      | $10210908.17  | 0.03%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-104, Class AB                                                                                          | CUSIP: 38376JMG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196694 | PA      | $197750.52    | 0.00%             | 2039-08-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2990, Class GO                                                                                      | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152373 | PA      | $128018.70    | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                          | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   2690000 | PA      | $2139217.23   | 0.01%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401WQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52708 | PA      | $53309.58     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                      | Deutsche Bank AG                                                                                                         | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  13585000 | PA      | $11889994.66  | 0.04%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                       | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                                                                | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12706 | PA      | $7614.74      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Baring Frn                                                            | Baring Frn                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  28974813 | PA      | $28250443.07  | 0.09%             | 2023-04-22      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4135000 | PA      | $4076529.69   | 0.01%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                        | Elara HGV Timeshare Issuer LLC, Series 2017-A, Class C                                                                   | CUSIP: 28416DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1219521 | PA      | $1152003.84   | 0.00%             | 2030-03-25      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-36, Class FA                                                                                    | CUSIP: 31393X5U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    970813 | PA      | $960804.27    | 0.00%             | 2034-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                     | Xcel Energy, Inc.                                                                                                        | CUSIP: 98389BAN0<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    829000 | PA      | $736838.41    | 0.00%             | 2041-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Sydney Airport Finance Co. Pty. Ltd.                                  | Sydney Airport Finance Co. Pty. Ltd.                                                                                     | CUSIP: 87124VAE9<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |   7000000 | PA      | $6612658.99   | 0.02%             | 2025-04-30      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                               | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BG4<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   3162000 | PA      | $3037345.04   | 0.01%             | 2024-09-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2821157 | PA      | $2658284.02   | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                        | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   5766000 | PA      | $4199444.17   | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208632 | PA      | $19510.85     | 0.00%             | 2038-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR3, Class E2                                                                                   | CUSIP: 001807AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9600000 | PA      | $8558253.12   | 0.03%             | 2037-09-17      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31419ACT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10218 | PA      | $10176.60     | 0.00%             | 2024-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                           | Eaton Corp.                                                                                                              | CUSIP: 278062AD6<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   1247000 | PA      | $1155672.48   | 0.00%             | 2032-11-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                            | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  13295000 | PA      | $12444862.13  | 0.04%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-125, Class SA                                                                                   | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635996 | PA      | $59239.57     | 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        |    304890 | PA      | $322964.09    | 0.00%             | 2033-06-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-85, Class SL                                                                                    | CUSIP: 31396XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48146 | PA      | $47386.74     | 0.00%             | 2037-09-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-74, Class CP                                                                                    | CUSIP: 31394FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60133 | PA      | $57268.93     | 0.00%             | 2035-05-25      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627623 | PA      | $681153.86    | 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        |    303216 | PA      | $299329.60    | 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        |    534519 | PA      | $497542.82    | 0.00%             | 2034-09-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $12707728.05  | 0.04%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691927 | PA      | $713369.83    | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1011437 | PA      | $849908.27    | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14012267 | PA      | $13927383.21  | 0.04%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                                 | Scentre Group Trust 1                                                                                                    | CUSIP: 806213AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |   5595000 | PA      | $5240100.87   | 0.02%             | 2025-10-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                            | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                                       | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9997771 | PA      | $9482584.43   | 0.03%             | 2044-12-27      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2265411 | PA      | $2276128.11   | 0.01%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, Other                                                                                                           | CUSIP: 3622AAJY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14150355 | PA      | $13563893.99  | 0.04%             | 2069-11-20      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42773 | PA      | $4446.80      | 0.00%             | 2036-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                            | CSMC Trust, Series 2021-JR2, Class A1                                                                                    | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21039304 | PA      | $19763282.50  | 0.06%             | 2061-11-25      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2013-100, Class WB                                                                                   | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6931164 | PA      | $6535806.78   | 0.02%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22602692 | PA      | $22155056.30  | 0.07%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UAE International Government Bond                                     | UAE International Government Bond                                                                                        | CUSIP: 31424EAC6<br>LEI: N/A                  | Long             | DBT              | NUSS              | AE        |  15748000 | PA      | $11887771.50  | 0.04%             | 2041-10-19      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                         | Equinix, Inc.                                                                                                            | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |  20442000 | PA      | $18684582.45  | 0.06%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-64, Class SN                                                                                           | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    886515 | PA      | $48546.61     | 0.00%             | 2039-07-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30848 | PA      | $32984.67     | 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        |   1902530 | PA      | $2072525.58   | 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        |    359194 | PA      | $3027.97      | 0.00%             | 2039-02-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                        | Home Partners of America Trust, Series 2021-2, Class E2                                                                  | CUSIP: 43732VAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9491151 | PA      | $7758901.85   | 0.02%             | 2026-12-17      | Fixed         | 2.95%                 | Yes           |                  3 | On Loan: No      |
| Hartford HealthCare Corp.                                             | Hartford HealthCare Corp.                                                                                                | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |  23430000 | PA      | $16478364.69  | 0.05%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540704 | PA      | $568634.26    | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A2                                          | CUSIP: 3137FKUP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4150000 | PA      | $4019026.42   | 0.01%             | 2028-12-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  16997000 | PA      | $12448227.17  | 0.04%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4454000 | PA      | $3233461.43   | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHEN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10642000 | PA      | $10117164.44  | 0.03%             | 2032-09-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4048, Class FB                                                                                      | CUSIP: 3137AQUB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1947283 | PA      | $1927417.35   | 0.01%             | 2041-10-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                  | Cheniere Corpus Christi Holdings LLC                                                                                     | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3667282.68   | 0.01%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1780808 | PA      | $1888638.16   | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                           | Eaton Corp.                                                                                                              | CUSIP: 278058AP7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   1794000 | PA      | $1860262.50   | 0.01%             | 2024-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                                 | Public Service Enterprise Group, Inc.                                                                                    | CUSIP: 744573AQ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |  15540000 | PA      | $12113054.71  | 0.04%             | 2030-08-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                  | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BZ6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  14590000 | PA      | $12610364.02  | 0.04%             | 2027-10-13      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                          | American Credit Acceptance Receivables Trust, Series 2020-2, Class C                                                     | CUSIP: 02529WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1180624 | PA      | $1173727.15   | 0.00%             | 2026-04-13      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2013-M13, Class A2                                                                                     | CUSIP: 3136AGJ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575048 | PA      | $567212.98    | 0.00%             | 2023-04-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405210 | PA      | $337760.87    | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91327 | PA      | $84067.25     | 0.00%             | 2033-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40856 | PA      | $41846.10     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                 | United Mexican States                                                                                                    | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  14965000 | PA      | $11612840.00  | 0.04%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194848 | PA      | $28861.46     | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8447733 | PA      | $7452576.00   | 0.02%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-59, Class HB                                                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1402714 | PA      | $1401704.85   | 0.00%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-40, Class SD                                                                                           | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    561343 | PA      | $35644.81     | 0.00%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress NC Storm Funding LLC                             | Duke Energy Progress NC Storm Funding LLC, Series A-2                                                                    | CUSIP: 26444BAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4037073.45   | 0.01%             | 2037-07-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2018-63, Class DA                                                                                    | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1837937 | PA      | $1731100.47   | 0.01%             | 2048-09-25      | Fixed         | 3.50%                 | 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        |     88656 | PA      | $72098.54     | 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        |    677129 | PA      | $716472.16    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                                           | Mylan, Inc.                                                                                                              | CUSIP: 628530BC0<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   5800000 | PA      | $4654772.19   | 0.01%             | 2043-11-29      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                                  | Physicians Realty LP                                                                                                     | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |   6195000 | PA      | $4869868.81   | 0.02%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                               | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |   1684000 | PA      | $1609414.76   | 0.01%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                               | GSR Mortgage Loan Trust, Series 2003-3F, Class 4A3                                                                       | CUSIP: 36228FPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50576 | PA      | $48102.97     | 0.00%             | 2033-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2021-SFR11, Class D                                                                   | CUSIP: 74333XAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11560000 | PA      | $9267110.99   | 0.03%             | 2039-01-17      | Fixed         | 3.13%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2011-149, Class EF                                                                                   | CUSIP: 3136A3FM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158733 | PA      | $157707.25    | 0.00%             | 2041-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                             | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40750334 | PA      | $36636656.99  | 0.11%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                    | Energy Transfer LP                                                                                                       | CUSIP: 29273RAJ8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2695000 | PA      | $2898444.42   | 0.01%             | 2038-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KJQ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1187880 | PA      | $1193314.17   | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3161 | PA      | $3232.52      | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617HE2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9574019 | PA      | $9743844.25   | 0.03%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655312 | PA      | $658760.30    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2514819 | PA      | $2478056.13   | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1541, Class M                                                                                       | CUSIP: 3133T0BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       653 | PA      | $648.28       | 0.00%             | 2023-07-15      | Floating      | 23.42%                | No            |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                                    | MDC Holdings, Inc.                                                                                                       | CUSIP: 552676AU2<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   5105000 | PA      | $3625295.89   | 0.01%             | 2031-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                             | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1228000 | PA      | $1070937.07   | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00912XBA1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6266000 | PA      | $5939634.76   | 0.02%             | 2025-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                                 | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |   4660000 | PA      | $4252250.00   | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Analog Devices, Inc.                                                  | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AX3<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4273000.32   | 0.01%             | 2051-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                    | Tricolor Auto Securitization Trust, Series 2020-1A, Class A                                                              | CUSIP: 89615AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661836 | PA      | $660943.56    | 0.00%             | 2026-11-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                            | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  71771700 | PA      | $63360265.04  | 0.20%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53684952 | PA      | $46726947.10  | 0.15%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                    | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |   6750000 | PA      | $6244838.17   | 0.02%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368431 | PA      | $19130.25     | 0.00%             | 2038-09-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31416BZV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14317 | PA      | $14256.06     | 0.00%             | 2024-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                   | Kinder Morgan, Inc.                                                                                                      | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5189193.18   | 0.02%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78783300 | PA      | $65159328.35  | 0.20%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613754 | PA      | $617153.69    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38783 | PA      | $41055.33     | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Electric Co.                                            | Massachusetts Electric Co.                                                                                               | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |   4957000 | PA      | $3703533.97   | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-90                                                                                                     | CUSIP: 38374CUL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26196 | PA      | $25902.45     | 0.00%             | 2033-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36290QWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13497 | PA      | $14001.05     | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | 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        |    166121 | PA      | $157184.34    | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QLSL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84558 | PA      | $86169.88     | 0.00%             | 2036-07-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC Trust, Whole Loan, Series 2002-W6, Class 1A6                                                                 | CUSIP: 31392DF23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11876405 | PA      | $11875294.10  | 0.04%             | 2042-06-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59152 | PA      | $59122.69     | 0.00%             | 2039-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                 | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9310000 | PA      | $9047998.35   | 0.03%             | 2023-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 270, Class F1                                                                                      | CUSIP: 3128HXXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2127563 | PA      | $2172611.22   | 0.01%             | 2042-08-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                    | MRA Issuance Trust, Series 2021-EBO7, Class A1Y                                                                          | CUSIP: 55349H205<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14087854 | PA      | $12860435.81  | 0.04%             | 2023-02-15      | Floating      | 2.86%                 | Yes           |                  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        |    335603 | PA      | $338495.82    | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3122, Class OP                                                                                      | CUSIP: 31396JLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152295 | PA      | $137197.51    | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3455, Class SE                                                                                      | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589238 | PA      | $38745.12     | 0.00%             | 2038-06-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94486 | PA      | $98318.31     | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                            | AT&T, Inc.                                                                                                               | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  26520000 | PA      | $21014036.41  | 0.07%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                       | Air Lease Corp.                                                                                                          | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  12170000 | PA      | $12087477.54  | 0.04%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc., Series C                                                                                          | CUSIP: 25746UBM0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1655864.93   | 0.01%             | 2041-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                        | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |  12180000 | PA      | $9449283.83   | 0.03%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LGV33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2081000 | PA      | $2009859.68   | 0.01%             | 2032-07-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Advocate Health & Hospitals Corp.                                     | Advocate Health & Hospitals Corp., Series 2020                                                                           | CUSIP: 007589AD6<br>LEI: 549300AEHU3PPOUCIL87 | Long             | DBT              | CORP              | US        |   9700000 | PA      | $8021321.88   | 0.03%             | 2030-06-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                          | Lennar Corp.                                                                                                             | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |   6800000 | PA      | $6701534.37   | 0.02%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3302, Class UT                                                                                      | CUSIP: 31397GB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260241 | PA      | $270975.29    | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | 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        |  42318911 | PA      | $37353159.57  | 0.12%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-35, Class SJ                                                                                    | CUSIP: 31398PGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576684 | PA      | $552384.23    | 0.00%             | 2040-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290550 | PA      | $303863.41    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89197 | PA      | $92982.32     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                    | Credit Agricole SA                                                                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  15810000 | PA      | $14326563.35  | 0.04%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  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        |      9901 | PA      | $6691.09      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LDSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20609131 | PA      | $19304811.78  | 0.06%             | 2026-05-01      | Fixed         | 2.49%                 | No            |                  2 | 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        |    992251 | PA      | $935438.15    | 0.00%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8872000 | PA      | $6555967.68   | 0.02%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                              | VCAT LLC, Series 2021-NPL5, Class A1                                                                                     | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14484400 | PA      | $13164871.53  | 0.04%             | 2051-08-25      | Variable      | 1.87%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M2, Class A3                                                                                      | CUSIP: 3136AMMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8421026 | PA      | $8108409.65   | 0.03%             | 2024-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381R4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5059310 | PA      | $5091492.56   | 0.02%             | 2026-08-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                     | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4816000 | PA      | $3921262.67   | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                         | Banc of America Funding Trust, Series 2004-2, Class 1CB1                                                                 | CUSIP: 06051GBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105267 | PA      | $102252.17    | 0.00%             | 2034-09-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13499819 | PA      | $13594577.98  | 0.04%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K7L73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2634779 | PA      | $2694706.22   | 0.01%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240863 | PA      | $250431.59    | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                       | BAE Systems plc                                                                                                          | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2563279.28   | 0.01%             | 2041-10-11      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H15, Class FA                                                                                          | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13347250 | PA      | $13163923.71  | 0.04%             | 2064-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-122, Class ZJ                                                                                   | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2636333 | PA      | $2740797.16   | 0.01%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12536282 | PA      | $12959436.50  | 0.04%             | 2071-08-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354510 | PA      | $315836.92    | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833BZ2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   5261000 | PA      | $4930733.57   | 0.02%             | 2026-08-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| County of Hamilton OH                                                 | County of Hamilton, Healthcare Facilities, The Christ Hospital                                                           | CUSIP: 40727TDK7<br>LEI: 549300TO1E3N4E4YIO28 | Long             | DBT              | MUN               | US        |  16870000 | PA      | $13125426.83  | 0.04%             | 2042-06-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2010-41, Class WA                                                                                           | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615125 | PA      | $629891.88    | 0.00%             | 2033-10-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2022-1A, Class A                                                                     | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  75257668 | PA      | $68629770.41  | 0.21%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |  11035000 | PA      | $10593808.56  | 0.03%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53094 | PA      | $45282.14     | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100654 | PA      | $2247.13      | 0.00%             | 2033-02-20      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418MSM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209020 | PA      | $208015.03    | 0.00%             | 2048-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class ZB                                                                                    | CUSIP: 31394EB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3076075 | PA      | $3126991.14   | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2458, Class ZM                                                                                      | CUSIP: 31392PAG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110360 | PA      | $112599.91    | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31288LSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66055 | PA      | $65778.55     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | 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        |    209358 | PA      | $219187.86    | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36209UJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.04         | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1314268 | PA      | $83687.17     | 0.00%             | 2041-05-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Cargill, Inc.                                                         | Cargill, Inc.                                                                                                            | CUSIP: 141781BX1<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |   5890000 | PA      | $5207465.45   | 0.02%             | 2052-04-22      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-14, Class OP                                                                                    | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118787 | PA      | $100532.40    | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5744501 | PA      | $5954300.37   | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1A2                                          | CUSIP: 31394PPR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1747389 | PA      | $1805778.27   | 0.01%             | 2043-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                             | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |   8165000 | PA      | $7470748.09   | 0.02%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC - GNMA, Series 29, Class L                                                                                         | CUSIP: 3133T5FM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29793 | PA      | $29860.13     | 0.00%             | 2024-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                   | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class X                                           | CUSIP: 46632HAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6525159 | PA      | $65.25        | 0.00%             | 2051-02-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| American Airlines Pass-Through Trust                                  | American Airlines Pass-Through Trust, Series 2014-1, Class A                                                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241807 | PA      | $206920.12    | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                  | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14400000 | PA      | $11927365.92  | 0.04%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  3 | On Loan: No      |
| Flagship Credit Auto Trust                                            | Flagship Credit Auto Trust, Series 2022-4, Class D                                                                       | CUSIP: 33843XAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11330000 | PA      | $11465906.75  | 0.04%             | 2028-10-16      | Fixed         | 8.86%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                            | RALI Trust, Series 2003-QS12, Class A5                                                                                   | CUSIP: 76110HDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16 | PA      | $0.00         | 0.00%             | 2018-06-25      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4018000 | PA      | $3667268.46   | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                  | Impac Secured Assets CMN Owner Trust, Series 2003-2, Class A1                                                            | CUSIP: 45254TMS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325475 | PA      | $268923.41    | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-105, Class AZ                                                                                   | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319228 | PA      | $3390384.05   | 0.01%             | 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        |  36486000 | PA      | $31251510.47  | 0.10%             | 2039-05-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LG7A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11498910 | PA      | $11046617.51  | 0.03%             | 2032-08-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134812 | PA      | $140019.22    | 0.00%             | 2032-02-15      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                    | MRA Issuance Trust, Series 2022-EBO1, Class A1Y                                                                          | CUSIP: 55351JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6118431 | PA      | $6124852.40   | 0.02%             | 2023-03-23      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                                       | FREED ABS Trust, Series 2022-3FP, Class C                                                                                | CUSIP: 35634EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7828211.20   | 0.02%             | 2029-08-20      | Fixed         | 7.05%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-81, Class LO                                                                                    | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6576 | PA      | $5962.09      | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-157, Class UY                                                                                          | CUSIP: 38378AXH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1332062.25   | 0.00%             | 2041-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1518, Class G                                                                                       | CUSIP: 312915YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2545 | PA      | $2525.39      | 0.00%             | 2023-05-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3477000 | PA      | $3262057.21   | 0.01%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| AIA Group Ltd.                                                        | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAF2<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   7190000 | PA      | $6728491.88   | 0.02%             | 2028-04-06      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-189, Class PL                                                                                   | CUSIP: 31359EXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9488 | PA      | $9502.35      | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30710 | PA      | $26517.81     | 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        |    276824 | PA      | $20491.49     | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                | Sequoia Mortgage Trust, Series 2004-11, Class A1                                                                         | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512842 | PA      | $452535.81    | 0.00%             | 2034-12-20      | Floating      | 4.54%                 | 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        |  23305674 | PA      | $22289099.27  | 0.07%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136495 | PA      | $25663.59     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR2, Class E1                                                                                   | CUSIP: 00178UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12912000 | PA      | $11817006.88  | 0.04%             | 2037-07-17      | Fixed         | 4.03%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148542 | PA      | $151966.79    | 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        |   1697751 | PA      | $88110.41     | 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        |    594966 | PA      | $59561.91     | 0.00%             | 2037-07-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  45168000 | PA      | $42916465.54  | 0.13%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                           | CSMC OA LLC, Series 2014-USA, Class A2                                                                                   | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2347834.32   | 0.01%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31373TSU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $580.79       | 0.00%             | 2024-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36204JM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       661 | PA      | $660.02       | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class GE                                                                                    | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397280 | PA      | $407293.11    | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22910000 | PA      | $22208599.58  | 0.07%             | 2023-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CFIN Issuer LLC                                                       | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  73400000 | PA      | $70097000.00  | 0.22%             | 2026-02-16      | Fixed         | 3.25%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2050528 | PA      | $2060919.75   | 0.01%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                           | Apple, Inc.                                                                                                              | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |  13570000 | PA      | $11583464.90  | 0.04%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16652 | PA      | $17179.75     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QHTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20527 | PA      | $19924.84     | 0.00%             | 2037-05-01      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-122, Class M                                                                                    | CUSIP: 31359BPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       551 | PA      | $551.20       | 0.00%             | 2023-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                  | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |  13419000 | PA      | $12286071.00  | 0.04%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410GGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24019 | PA      | $23279.71     | 0.00%             | 2035-07-01      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48420000 | PA      | $42995446.88  | 0.13%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                 | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  23810000 | PA      | $20743115.81  | 0.06%             | 2026-10-04      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129352C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145688 | PA      | $148861.70    | 0.00%             | 2031-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                    | Morgan Stanley Mortgage Loan Trust, Series 2004-9, Class 4A                                                              | CUSIP: 61748HGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59692 | PA      | $52461.02     | 0.00%             | 2019-10-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413GLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288983 | PA      | $286494.64    | 0.00%             | 2037-08-01      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40435175 | PA      | $38448930.01  | 0.12%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| UMass Memorial Health Care Obligated Group                            | UMass Memorial Health Care Obligated Group                                                                               | CUSIP: 90407JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6070000 | PA      | $5633838.33   | 0.02%             | 2052-07-01      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2955655 | PA      | $2900359.40   | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                     | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAZ5<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |  17965000 | PA      | $13234010.31  | 0.04%             | 2049-08-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1505, Class Q                                                                                       | CUSIP: 312915ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       708 | PA      | $709.13       | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | 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        |    311760 | PA      | $318395.67    | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39113 | PA      | $33057.60     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2441, Class GF                                                                                      | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43161 | PA      | $44984.68     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                   | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9540000 | PA      | $7555377.11   | 0.02%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43775000 | PA      | $41128123.61  | 0.13%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3845 | PA      | $3911.96      | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5090 | PA      | $5202.38      | 0.00%             | 2031-12-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1671, Class L                                                                                       | CUSIP: 3133T36F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3068 | PA      | $3060.34      | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   7958000 | PA      | $7384545.57   | 0.02%             | 2025-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-1                                                                                                      | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37421 | PA      | $30202.41     | 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        |    409447 | PA      | $393506.79    | 0.00%             | 2033-02-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                              | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |  22130000 | PA      | $18373631.01  | 0.06%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4221947 | PA      | $4107703.23   | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31390WRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194769 | PA      | $189647.53    | 0.00%             | 2033-09-01      | Variable      | 2.74%                 | 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        |  20845424 | PA      | $18718521.83  | 0.06%             | 2066-10-25      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1438 | PA      | $1436.67      | 0.00%             | 2028-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                    | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  17380000 | PA      | $15594649.93  | 0.05%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp.                                     | Structured Asset Securities Corp., Series 2004-4XS, Class 1A5                                                            | CUSIP: 86359BHL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1003269 | PA      | $938592.05    | 0.00%             | 2034-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Nucor Corp.                                                           | Nucor Corp.                                                                                                              | CUSIP: 670346AU9<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |   4465000 | PA      | $2784115.25   | 0.01%             | 2055-12-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                            | Progress Residential Trust, Series 2022-SFR1, Class D                                                                    | CUSIP: 74333YAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  21816000 | PA      | $17869985.19  | 0.06%             | 2041-02-17      | Fixed         | 3.65%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133A6X97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10853703 | PA      | $9312612.59   | 0.03%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                   | DBWF Mortgage Trust, Series 2015-LCM, Class A2                                                                           | CUSIP: 23306NAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3504442.00   | 0.01%             | 2034-06-10      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                       | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $741299.03    | 0.00%             | 2042-04-22      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Union Electric Co.                                                    | Union Electric Co.                                                                                                       | CUSIP: 906548CN0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1304466.90   | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26011769 | PA      | $26793099.90  | 0.08%             | 2072-03-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371248 | PA      | $306286.52    | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 108105000 | PA      | $72322078.52  | 0.23%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9FW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5602917 | PA      | $5290961.66   | 0.02%             | 2027-03-01      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248584 | PA      | $260666.77    | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   9560000 | PA      | $8912490.21   | 0.03%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193493 | PA      | $199723.00    | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434408 | PA      | $454805.36    | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                   | Exeter Automobile Receivables Trust, Series 2020-1A, Class D                                                             | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22035000 | PA      | $21719881.87  | 0.07%             | 2025-12-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H05, Class FA                                                                                          | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8246458 | PA      | $8173116.64   | 0.03%             | 2064-02-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                        | 7-Eleven, Inc.                                                                                                           | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   9074000 | PA      | $7594595.37   | 0.02%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M7, Class A2                                                                                      | CUSIP: 3136B4QB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35639666 | PA      | $33044599.67  | 0.10%             | 2029-04-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   2604000 | PA      | $2327971.34   | 0.01%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3380000 | PA      | $3391083.49   | 0.01%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML4F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163826 | PA      | $1136729.57   | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                                | Standard Chartered plc                                                                                                   | CUSIP: 853254BK5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $1769417.90   | 0.01%             | 2033-03-15      | Variable      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151965 | PA      | $149891.80    | 0.00%             | 2036-07-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                            | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12605000 | PA      | $10649830.76  | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | 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        |     28897 | PA      | $18560.15     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 179931500 | PA      | $130668223.75 | 0.41%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9458 | PA      | $1290.57      | 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        |   1168397 | PA      | $1083827.16   | 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        |    303912 | PA      | $307445.80    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153915 | PA      | $128505.63    | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9603056 | PA      | $9531058.83   | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2011-97, Class WA                                                                                           | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    625425 | PA      | $653539.14    | 0.00%             | 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        |    338070 | PA      | $357905.82    | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-8, Class JZ                                                                                     | CUSIP: 31394VW97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087265 | PA      | $1106594.92   | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                      | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   2795000 | PA      | $2543462.35   | 0.01%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                                   | Deutsche Telekom AG                                                                                                      | CUSIP: 251566AA3<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |   4657000 | PA      | $3392323.98   | 0.01%             | 2050-01-21      | Fixed         | 3.62%                 | Yes           |                  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        |     97874 | PA      | $88144.19     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                                 | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2G9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |   1320000 | PA      | $1267200.00   | 0.00%             | 2023-11-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| CIG Auto Receivables Trust                                            | CIG Auto Receivables Trust, Series 2019-1A, Class C                                                                      | CUSIP: 125504AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1163766 | PA      | $1162425.41   | 0.00%             | 2024-08-15      | Fixed         | 3.82%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                              | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   7650000 | PA      | $5561865.41   | 0.02%             | 2040-11-15      | Fixed         | 3.27%                 | Yes           |                  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        |     16749 | PA      | $15635.58     | 0.00%             | 2033-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-19, Class PW                                                                                    | CUSIP: 31397NUJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747023 | PA      | $734554.51    | 0.00%             | 2036-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-54, Class Z                                                                                     | CUSIP: 31358UYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1168 | PA      | $1164.35      | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-99, Class WA                                                                                    | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1442655 | PA      | $1482118.25   | 0.00%             | 2039-12-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                            | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2940000 | PA      | $3252321.49   | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2014-29, Class PS                                                                                    | CUSIP: 3136AJT89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2261250 | PA      | $214766.74    | 0.00%             | 2044-05-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                     | HF Sinclair Corp.                                                                                                        | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  22175000 | PA      | $22314974.37  | 0.07%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244715 | PA      | $252356.96    | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                  | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  22160000 | PA      | $22288338.31  | 0.07%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31575000 | PA      | $26784480.47  | 0.08%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3510, Class OD                                                                                      | CUSIP: 31397YZP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259188 | PA      | $213750.22    | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CLW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1358 | PA      | $1376.33      | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132VMGN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192937 | PA      | $1145704.32   | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                 | Westpac Banking Corp.                                                                                                    | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |  11364000 | PA      | $7398564.36   | 0.02%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                          | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAS7<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   4729000 | PA      | $4345497.02   | 0.01%             | 2045-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923505 | PA      | $145468.43    | 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        |  54475000 | PA      | $54326044.65  | 0.17%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                   | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   5480000 | PA      | $4616912.55   | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| SITE Centers Corp.                                                    | SITE Centers Corp.                                                                                                       | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |   4651000 | PA      | $4371558.66   | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18642 | PA      | $18919.53     | 0.00%             | 2035-02-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2006-57, Class PZ                                                                                           | CUSIP: 38374NXS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671410 | PA      | $672323.99    | 0.00%             | 2036-10-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1010727 | PA      | $1041651.68   | 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        |      3104 | PA      | $3055.59      | 0.00%             | 2060-08-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371EW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       297 | PA      | $297.26       | 0.00%             | 2024-05-01      | Fixed         | 8.00%                 | 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        |  40000000 | PA      | $36504140.00  | 0.11%             | 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        |    953387 | PA      | $107105.73    | 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        | 100000000 | PA      | $73888675.00  | 0.23%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    871350 | PA      | $824997.50    | 0.00%             | 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        |    738435 | PA      | $50876.89     | 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        |    398200 | PA      | $22471.91     | 0.00%             | 2039-02-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                            | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   7665000 | PA      | $7574162.85   | 0.02%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                     | Lowe's Cos., Inc.                                                                                                        | CUSIP: 548661DZ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   7130000 | PA      | $4787194.65   | 0.01%             | 2050-10-15      | Fixed         | 3.00%                 | 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        |  14610000 | PA      | $13872783.78  | 0.04%             | 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        |    610215 | PA      | $635929.33    | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                | Lendmark Funding Trust, Series 2022-1A, Class D                                                                          | CUSIP: 52608JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27660000 | PA      | $26478411.82  | 0.08%             | 2032-07-20      | Fixed         | 8.16%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LXWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4244930 | PA      | $4105813.75   | 0.01%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    807319 | PA      | $162802.37    | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                          | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AD6<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |   6450000 | PA      | $4313358.94   | 0.01%             | 2070-01-22      | Fixed         | 3.70%                 | Yes           |                  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        |    120101 | PA      | $111747.58    | 0.00%             | 2037-02-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 3140X6XQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1462361 | PA      | $1435042.08   | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2007-36, Class SJ                                                                                           | CUSIP: 38375KHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513607 | PA      | $11933.87     | 0.00%             | 2037-06-20      | Floating      | 2.31%                 | 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        |    342497 | PA      | $330597.97    | 0.00%             | 2032-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                      | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    700000 | PA      | $770534.53    | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JKQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1452483 | PA      | $1485644.03   | 0.00%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of Israel                                                       | Israel Government AID Bond                                                                                               | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | USGA              | IL        |   6771000 | PA      | $7497492.82   | 0.02%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4077, Class FB                                                                                      | CUSIP: 3137ASAP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1458927 | PA      | $1429054.82   | 0.00%             | 2042-07-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                           | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |   2870000 | PA      | $2643114.85   | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                      | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189TAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1166000 | PA      | $1366104.26   | 0.00%             | 2036-06-01      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498296 | PA      | $102258.01    | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                           | Aker BP ASA                                                                                                              | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |  18019000 | PA      | $15864034.81  | 0.05%             | 2026-07-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CRH America, Inc.                                                     | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |   6052000 | PA      | $5487583.40   | 0.02%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-10, Class FD                                                                                    | CUSIP: 31396PNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267030 | PA      | $263483.79    | 0.00%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313722 | PA      | $315321.72    | 0.00%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141854 | PA      | $150285.71    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20476 | PA      | $20891.41     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 183595000 | PA      | $128086199.22 | 0.40%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                    | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   7215000 | PA      | $6118036.02   | 0.02%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12140000 | PA      | $10478462.54  | 0.03%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                               | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |  10140000 | PA      | $8175375.00   | 0.03%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FMR LLC                                                               | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |   2242000 | PA      | $2345549.66   | 0.01%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                    | Tricolor Auto Securitization Trust, Series 2022-1A, Class D                                                              | CUSIP: 89616BAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6285000 | PA      | $6015869.39   | 0.02%             | 2026-01-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                         | Comcast Corp.                                                                                                            | CUSIP: 20030NBN0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2773000 | PA      | $2688444.38   | 0.01%             | 2025-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                          | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3418781.65   | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12152 | PA      | $12425.73     | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2KD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11299723 | PA      | $10861540.25  | 0.03%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                  | Glencore Funding LLC                                                                                                     | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   4240000 | PA      | $4209786.31   | 0.01%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  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        |      2863 | PA      | $2982.98      | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                        | Mariner Finance Issuance Trust, Series 2021-BA, Class D                                                                  | CUSIP: 56847JAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11935000 | PA      | $9283708.97   | 0.03%             | 2036-11-20      | Fixed         | 3.42%                 | Yes           |                  3 | 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        |  67015000 | PA      | $54052549.91  | 0.17%             | 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        |   7411893 | PA      | $7669505.58   | 0.02%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-89, Class LS                                                                                           | CUSIP: 38374JLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106710 | PA      | $114211.01    | 0.00%             | 2034-10-16      | Floating      | 10.13%                | 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        |    296905 | PA      | $268504.85    | 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        |     70814 | PA      | $72817.70     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                       | Danske Bank A/S                                                                                                          | CUSIP: 23636AAY7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  35450000 | PA      | $35425970.22  | 0.11%             | 2023-12-08      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  55251088 | PA      | $51082471.02  | 0.16%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182713 | PA      | $185893.56    | 0.00%             | 2036-08-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                           | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1628152 | PA      | $1563982.85   | 0.00%             | 2044-12-26      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-25, Class PF                                                                                    | CUSIP: 31394DAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473246 | PA      | $465189.34    | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                   | DT Auto Owner Trust, Series 2019-1A, Class D                                                                             | CUSIP: 23343GAG7<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |   2810509 | PA      | $2806231.97   | 0.01%             | 2024-11-15      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                         | Enel Finance International NV                                                                                            | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   4500000 | PA      | $3962829.78   | 0.01%             | 2028-04-06      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                               | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   3780000 | PA      | $4049561.63   | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   5520000 | PA      | $4099201.02   | 0.01%             | 2032-08-01      | Fixed         | 2.10%                 | 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        |    461792 | PA      | $427580.16    | 0.00%             | 2028-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                           | Cigna Corp.                                                                                                              | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1904000 | PA      | $1728935.29   | 0.01%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38935574 | PA      | $34294506.03  | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                       | NGPL PipeCo LLC                                                                                                          | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   8486000 | PA      | $8074878.33   | 0.03%             | 2027-08-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                                          | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |   8970309 | PA      | $8280262.54   | 0.03%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   8425000 | PA      | $5243055.27   | 0.02%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410F3Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83847 | PA      | $82187.13     | 0.00%             | 2037-04-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                        | Commonwealth Bank of Australia                                                                                           | CUSIP: 202712BQ7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   4795000 | PA      | $3262710.66   | 0.01%             | 2041-03-11      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418BZ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3115539 | PA      | $3002038.52   | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                      | Bank of Montreal                                                                                                         | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   5021000 | PA      | $4446750.09   | 0.01%             | 2032-12-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA                                                                                                                  | CUSIP: 05578AAP3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  20500000 | PA      | $18005992.96  | 0.06%             | 2026-01-20      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 115000000 | PA      | $94668358.80  | 0.30%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31417UDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244226 | PA      | $249458.08    | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    829000 | PA      | $802351.89    | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-KL05, Class BP                                                                         | CUSIP: 30311NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5645000 | PA      | $4937279.58   | 0.02%             | 2029-06-25      | Variable      | 4.09%                 | Yes           |                  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        |     66538 | PA      | $61169.69     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                                 | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   4979000 | PA      | $4532486.32   | 0.01%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-46, Class FW                                                                                    | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152329 | PA      | $150342.92    | 0.00%             | 2036-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                             | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAM9<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |   8830000 | PA      | $8549905.25   | 0.03%             | 2025-11-15      | Fixed         | 4.00%                 | 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        |  37957598 | PA      | $37634958.60  | 0.12%             | 2023-12-05      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2020-SFR1, Class E                                                                                    | CUSIP: 00180AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  40100000 | PA      | $36649190.49  | 0.11%             | 2037-04-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138YBK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6457289 | PA      | $6061620.48   | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2005-73, Class PS                                                                                    | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137608 | PA      | $141296.48    | 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        |   7915384 | PA      | $8033331.61   | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                             | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8670000 | PA      | $8749132.04   | 0.03%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                   | Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MZ                                                             | CUSIP: 35563PHJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13840725 | PA      | $11123179.94  | 0.03%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-112, Class MJ                                                                                   | CUSIP: 31396X4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653847 | PA      | $682863.90    | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  13333000 | PA      | $12306675.39  | 0.04%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1865, Class D                                                                                       | CUSIP: 3133T7HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11072 | PA      | $10825.10     | 0.00%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                              | KGS-Alpha SBA COOF Trust, Series 2014-2, Class A                                                                         | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2758632 | PA      | $142290.25    | 0.00%             | 2040-04-25      | Variable      | 2.97%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-79, Class OP                                                                                    | CUSIP: 31396KXD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173832 | PA      | $139836.36    | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                              | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1569000 | PA      | $1325829.96   | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15830454 | PA      | $15758355.67  | 0.05%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                      | MASTR Asset Securitization Trust, Series 2004-6, Class 15PO                                                              | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       320 | PA      | $318.09       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                      | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   4308000 | PA      | $4057075.16   | 0.01%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3688, Class GT                                                                                      | CUSIP: 3137A0ML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2804261 | PA      | $2997720.25   | 0.01%             | 2046-11-15      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869933 | PA      | $874527.28    | 0.00%             | 2036-12-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                        | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   7770000 | PA      | $5227141.70   | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, STRIPS, Series 412, Class F2                                                                                       | CUSIP: 31395QDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2228391 | PA      | $2246228.08   | 0.01%             | 2042-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20045 | PA      | $20021.89     | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2019-K102, Class B                                                                          | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5097298.20   | 0.02%             | 2051-12-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65734 | PA      | $23.12        | 0.00%             | 2031-08-16      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8076947 | PA      | $7765713.78   | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                             | UDR, Inc.                                                                                                                | CUSIP: 90265EAS9<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |   6440000 | PA      | $5036847.58   | 0.02%             | 2034-11-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                                | Keurig Dr Pepper, Inc.                                                                                                   | CUSIP: 26138EAY5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   3746000 | PA      | $3137004.39   | 0.01%             | 2046-12-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                       | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  14830000 | PA      | $12577977.60  | 0.04%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 113240000 | PA      | $107896487.50 | 0.34%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121349 | PA      | $119068.65    | 0.00%             | 2036-10-01      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                        | Morgan Stanley                                                                                                           | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7397000 | PA      | $6811471.01   | 0.02%             | 2029-01-24      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-131, Class SK                                                                                   | CUSIP: 31393UZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9181 | PA      | $9170.36      | 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        |    279563 | PA      | $290464.05    | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | 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        |  50000000 | PA      | $42026260.00  | 0.13%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Vendee Mortgage Trust                                                 | Vendee Mortgage Trust, Series 1994-1, Class 1                                                                            | CUSIP: 911760DD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60296 | PA      | $59748.25     | 0.00%             | 2024-02-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202514 | PA      | $205458.85    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617X2A80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22761388 | PA      | $21141205.81  | 0.07%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACC                                                                   | ACC                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  58783326 | PA      | $58489409.24  | 0.18%             | 2022-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1993-205, Class H                                                                                    | CUSIP: 31359EK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1023 | PA      | $1008.06      | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Purewest Funding II LLC                                               | Purewest Funding II LLC, Series 2022-1, Class A1                                                                         | CUSIP: 746246AA5<br>LEI: 549300B6LXGI8BL9O168 | Long             | ABS-O            | CORP              | US        |  47060743 | PA      | $45803793.31  | 0.14%             | 2037-12-05      | Fixed         | 5.81%                 | Yes           |                  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        |    429055 | PA      | $373063.87    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 4012, Class FN                                                                                      | CUSIP: 3137AMMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3475562 | PA      | $3419304.44   | 0.01%             | 2042-03-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                              | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7790000 | PA      | $6365321.18   | 0.02%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                            | AMSR Trust, Series 2019-SFR1, Class E                                                                                    | CUSIP: 00178XAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7800000 | PA      | $6768081.84   | 0.02%             | 2039-01-19      | Fixed         | 3.47%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354561 | PA      | $348434.31    | 0.00%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                    | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6634818 | PA      | $5388422.58   | 0.02%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUEZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35164007 | PA      | $36309650.43  | 0.11%             | 2071-11-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2016-H07, Class FA                                                                                          | CUSIP: 38376RRD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30655677 | PA      | $30419842.86  | 0.10%             | 2066-03-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C4S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $68.16        | 0.00%             | 2028-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2423, Class TB                                                                                      | CUSIP: 31339WBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220013 | PA      | $224287.98    | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36204DKT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4127 | PA      | $4263.95      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                     | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2705000 | PA      | $2608445.43   | 0.01%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287493 | PA      | $300513.39    | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                      | Boeing Co. (The)                                                                                                         | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $13208357.40  | 0.04%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617VUD46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19120667 | PA      | $19786811.95  | 0.06%             | 2071-08-20      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339734 | PA      | $344340.17    | 0.00%             | 2037-05-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                          | ING Groep NV                                                                                                             | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   2572000 | PA      | $2433783.88   | 0.01%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2004-W8, Class 3A                                                                         | CUSIP: 31394ALN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186369 | PA      | $192889.13    | 0.00%             | 2044-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                             | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |  17500000 | PA      | $15956697.75  | 0.05%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2004-71, Class SB                                                                                           | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121255 | PA      | $124452.72    | 0.00%             | 2034-09-20      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3NT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    689993 | PA      | $650015.83    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                                | CVS Pass-Through Trust, Series 2009                                                                                      | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4661555 | PA      | $5034564.91   | 0.02%             | 2031-07-10      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35861 | PA      | $38263.26     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                      | Paramount Global                                                                                                         | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   4293000 | PA      | $4111491.62   | 0.01%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                        | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CM2<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   6745000 | PA      | $5076226.23   | 0.02%             | 2041-10-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15964554 | PA      | $16083689.55  | 0.05%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125582 | PA      | $130005.33    | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365578 | PA      | $63646.05     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Consumer Receivables Asset Investment Trust                           | Consumer Receivables Asset Investment Trust, Series 2021-1, Class A1X                                                    | CUSIP: 21056K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29135871 | PA      | $29194521.54  | 0.09%             | 2023-03-24      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-108, Class SA                                                                                   | CUSIP: 31396XR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28094 | PA      | $1901.36      | 0.00%             | 2037-12-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167313 | PA      | $177116.78    | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617YKHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31599192 | PA      | $32631929.08  | 0.10%             | 2072-03-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                      | Kroger Co. (The)                                                                                                         | CUSIP: 501044DF5<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $8504822.59   | 0.03%             | 2046-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                           | Tricon American Homes Trust, Series 2019-SFR1, Class D                                                                   | CUSIP: 89612LAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4641000 | PA      | $4179648.40   | 0.01%             | 2038-03-17      | Fixed         | 3.20%                 | Yes           |                  3 | 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        |  58400000 | PA      | $49802229.36  | 0.16%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                            | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AG1<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |    955000 | PA      | $862888.51    | 0.00%             | 2044-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                          | Oracle Corp.                                                                                                             | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |  19515000 | PA      | $14501694.86  | 0.05%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                               | Volkswagen Group of America Finance LLC                                                                                  | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   6615000 | PA      | $5604358.12   | 0.02%             | 2027-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family WI Certificates                                    | FHLMC Multi-Family WI Certificates, Series K153, Class A2                                                                | CUSIP: 3137H9CE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  75000000 | PA      | $71091450.00  | 0.22%             | 2033-01-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LY6X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2489944 | PA      | $2457458.33   | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3422, Class SE                                                                                      | CUSIP: 31397RDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57176 | PA      | $59373.86     | 0.00%             | 2038-02-15      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCV9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   3041000 | PA      | $2998241.20   | 0.01%             | 2024-06-15      | Fixed         | 3.85%                 | No            |                  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        |   3750000 | PA      | $3628990.50   | 0.01%             | 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        |    509612 | PA      | $494126.04    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5984155 | PA      | $5624485.77   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | 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        |    442718 | PA      | $459285.35    | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132Y13D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3484495 | PA      | $3544546.68   | 0.01%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                                       | FREED ABS Trust, Series 2022-4FP, Class B                                                                                | CUSIP: 35634JAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24000000 | PA      | $23974461.60  | 0.07%             | 2029-12-18      | Fixed         | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                           | Business Jet Securities LLC, Series 2021-1A, Class A                                                                     | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27304479 | PA      | $23766364.28  | 0.07%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  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        |  23865841 | PA      | $21721476.22  | 0.07%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                              | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A                                                        | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  24040000 | PA      | $22025407.13  | 0.07%             | 2026-08-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-39, Class LW                                                                                    | CUSIP: 31393A6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11381 | PA      | $11333.63     | 0.00%             | 2023-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-40, Class FJ                                                                                    | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148747 | PA      | $148602.39    | 0.00%             | 2040-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust Ltd.                                        | COOF Securitization Trust Ltd., Series 2014-1, Class A                                                                   | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2691295 | PA      | $140520.59    | 0.00%             | 2040-06-25      | Variable      | 2.90%                 | Yes           |                  3 | On Loan: No      |
| NiSource, Inc.                                                        | NiSource, Inc.                                                                                                           | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   7940000 | PA      | $6961468.84   | 0.02%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAL7<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   6000000 | PA      | $5488332.36   | 0.02%             | 2026-10-15      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                          | MASTR Alternative Loan Trust, Series 2005-6, Class 3A1                                                                   | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69220 | PA      | $48234.83     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59140 | PA      | $61097.10     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TSMC Global Ltd.                                                      | TSMC Global Ltd.                                                                                                         | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |  10386000 | PA      | $10324618.74  | 0.03%             | 2032-07-22      | Fixed         | 4.62%                 | Yes           |                  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        |    185544 | PA      | $182377.51    | 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        |    136468 | PA      | $145766.22    | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2017-M15, Class A2                                                                                     | CUSIP: 3136AY6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9337467 | PA      | $8809969.12   | 0.03%             | 2027-09-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                      | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |   3458000 | PA      | $3221255.33   | 0.01%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-H08, Class FS                                                                                          | CUSIP: 38375BQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3907957 | PA      | $3875838.38   | 0.01%             | 2062-04-20      | Floating      | 3.84%                 | 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        |   1483063 | PA      | $1352836.69   | 0.00%             | 2033-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H07, Class ES                                                                                          | CUSIP: 38375UVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6053960 | PA      | $5981455.02   | 0.02%             | 2065-02-20      | Floating      | 3.10%                 | 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        |    248313 | PA      | $237892.65    | 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        |       157 | PA      | $157.04       | 0.00%             | 2023-08-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36241LPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1426867 | PA      | $1523038.02   | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                   | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1624442.93   | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                                           | Mylan, Inc.                                                                                                              | CUSIP: 628530AV9<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   3886000 | PA      | $3872865.83   | 0.01%             | 2023-01-15      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST                                               | PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A                                                                        | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  60745000 | PA      | $57114022.30  | 0.18%             | 2027-05-25      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                 | Dominion Energy, Inc.                                                                                                    | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1076000 | PA      | $1169942.18   | 0.00%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2015-H02, Class FB                                                                                          | CUSIP: 38375UUA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3460981 | PA      | $3426092.36   | 0.01%             | 2064-12-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                                 | Targa Resources Corp.                                                                                                    | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   5030000 | PA      | $4398633.75   | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  54320000 | PA      | $51192920.36  | 0.16%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fn  aug32                                                             | Fn  aug32                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  33255000 | PA      | $33463000.74  | 0.10%             | 2032-08-01      | Fixed         | 0.00%                 | 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        |    251282 | PA      | $15.58        | 0.00%             | 2026-09-25      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17576100 | PA      | $16829209.47  | 0.05%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                     | HF Sinclair Corp.                                                                                                        | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  21813000 | PA      | $21365525.94  | 0.07%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KHRB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8201709 | PA      | $7969211.00   | 0.02%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2012-141, Class WA                                                                                          | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637330 | PA      | $1623278.68   | 0.01%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp.                                                   | Southwest Gas Corp.                                                                                                      | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   3595000 | PA      | $2493619.23   | 0.01%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                           | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599AX2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2383030.16   | 0.01%             | 2027-04-01      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145037 | PA      | $17204.38     | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140ML3V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417418 | PA      | $1384417.65   | 0.00%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust                  | Ontario Teachers' Cadillac Fairview Properties Trust                                                                     | CUSIP: 68327LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   6562000 | PA      | $6070600.04   | 0.02%             | 2027-03-20      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class C                                                               | CUSIP: 36265NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15905000 | PA      | $15312952.28  | 0.05%             | 2028-04-17      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Mount Sinai Hospitals Group, Inc.                                     | Mount Sinai Hospitals Group, Inc., Series 2017                                                                           | CUSIP: 623115AD4<br>LEI: 549300IJEDK5LH7YPT15 | Long             | DBT              | CORP              | US        |   2747000 | PA      | $2173501.83   | 0.01%             | 2048-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                                | KeySpan Gas East Corp.                                                                                                   | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   4242000 | PA      | $3808739.55   | 0.01%             | 2026-08-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104770 | PA      | $102947.15    | 0.00%             | 2036-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                     | GLS Auto Receivables Issuer Trust, Series 2022-2A, Class D                                                               | CUSIP: 36265NAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19357000 | PA      | $18563171.37  | 0.06%             | 2028-04-17      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15881 | PA      | $16407.08     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II                                                                                                                  | CUSIP: 3617XXC23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33784512 | PA      | $34897873.35  | 0.11%             | 2072-02-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-1A, Class D                                                                       | CUSIP: 784033AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10690000 | PA      | $9248573.23   | 0.03%             | 2031-11-20      | Fixed         | 3.79%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31416JDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149615 | PA      | $155835.41    | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-43, Class DO                                                                                    | CUSIP: 31395DF38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204066 | PA      | $169884.41    | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                         | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   6275000 | PA      | $4921467.38   | 0.02%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26476000 | PA      | $25454009.19  | 0.08%             | 2028-06-01      | Fixed         | 3.57%                 | 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        |    491608 | PA      | $460153.60    | 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        |    299768 | PA      | $33456.52     | 0.00%             | 2038-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                   | Buckeye Partners LP                                                                                                      | CUSIP: 118230AP6<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $4500000.00   | 0.01%             | 2044-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series G93-14, Class J                                                                                      | CUSIP: 31358TV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       160 | PA      | $159.48       | 0.00%             | 2023-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617M2G78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884767 | PA      | $868920.66    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2001-60, Class PX                                                                                    | CUSIP: 3139213T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216343 | PA      | $222391.49    | 0.00%             | 2031-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138L9ZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5752083 | PA      | $5490125.39   | 0.02%             | 2025-05-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                     | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class D                                                               | CUSIP: 22534QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  50000000 | PA      | $48564100.00  | 0.15%             | 2033-04-18      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2833645 | PA      | $171830.24    | 0.00%             | 2038-05-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                       | Phillips 66 Co.                                                                                                          | CUSIP: 718547AN2<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   3078000 | PA      | $2789578.29   | 0.01%             | 2046-10-01      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                            | CSMC Trust, Series 2021-JR1, Class A1                                                                                    | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24994411 | PA      | $23638014.26  | 0.07%             | 2066-09-27      | Variable      | 2.46%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2003-25, Class PZ                                                                                           | CUSIP: 38373QDV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884256 | PA      | $881540.18    | 0.00%             | 2033-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         4 | PA      | $3.72         | 0.00%             | 2025-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                                  | Entergy Arkansas LLC                                                                                                     | CUSIP: 29364DAU4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |   2631000 | PA      | $2540531.41   | 0.01%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-72, Class GO                                                                                    | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285527 | PA      | $251355.88    | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                        | Southern California Edison Co.                                                                                           | CUSIP: 842400ES8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    895000 | PA      | $932780.02    | 0.00%             | 2034-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                                            | PacifiCorp                                                                                                               | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $1911515.72   | 0.01%             | 2050-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                                 | Walt Disney Co. (The)                                                                                                    | CUSIP: 254687CP9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    942000 | PA      | $956187.06    | 0.00%             | 2023-04-26      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LLZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14537383 | PA      | $13700303.67  | 0.04%             | 2028-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                | Oportun Issuance Trust, Series 2022-A, Class B                                                                           | CUSIP: 68378NAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13299000 | PA      | $12055712.40  | 0.04%             | 2031-06-09      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234776 | PA      | $32326.10     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                          | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |  12384000 | PA      | $11532232.94  | 0.04%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60253000 | PA      | $51723633.52  | 0.16%             | 2032-06-25      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138380 | PA      | $142820.17    | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                               | Lendingpoint Asset Securitization Trust, Series 2022-C, Class C                                                          | CUSIP: 525919AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5380381.80   | 0.02%             | 2030-02-15      | Fixed         | 8.68%                 | Yes           |                  3 | On Loan: No      |
| Simon Property Group LP                                               | Simon Property Group LP                                                                                                  | CUSIP: 828807DH7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |  12865000 | PA      | $8563431.58   | 0.03%             | 2049-09-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA II, 30 Year                                                                                                         | CUSIP: 3617MW7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7752464 | PA      | $7598620.61   | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | 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        |   1736633 | PA      | $1702056.09   | 0.01%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3138LNKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  60000000 | PA      | $57559594.80  | 0.18%             | 2030-09-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Chester County Health and Education Facilities Authority              | Chester County Health and Education Facilities Authority, Main Line Health System                                        | CUSIP: 16557HGE9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  11130000 | PA      | $7451742.02   | 0.02%             | 2051-06-01      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55245000 | PA      | $58231682.81  | 0.18%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31404R3R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157575 | PA      | $162491.01    | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                         | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  10885000 | PA      | $9223105.85   | 0.03%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2009-52, Class PI                                                                                    | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349871 | PA      | $64810.01     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2005-56, Class IC                                                                                           | CUSIP: 38374LRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111104 | PA      | $16440.16     | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48331 | PA      | $47450.40     | 0.00%             | 2038-05-01      | Variable      | 2.82%                 | 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        |    109504 | PA      | $76042.66     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55528 | PA      | $55541.78     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2009-106, Class AS                                                                                          | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1446619 | PA      | $122236.96    | 0.00%             | 2039-11-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                     | CD Mortgage Trust, Series 2006-CD3, Class XS                                                                             | CUSIP: 14986DAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    748109 | PA      | $2205.05      | 0.00%             | 2048-10-15      | Variable      | 0.18%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 3140HXUA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22962000 | PA      | $18178904.72  | 0.06%             | 2035-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151876 | PA      | $149873.98    | 0.00%             | 2036-11-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1994-63, Class PK                                                                                    | CUSIP: 31359HNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50577 | PA      | $50762.89     | 0.00%             | 2024-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                    | Northwestern Mutual Global Funding                                                                                       | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |  12520000 | PA      | $10605405.92  | 0.03%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                           | American Homes 4 Rent Trust, Series 2014-SFR3, Class A                                                                   | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8517169 | PA      | $8158498.33   | 0.03%             | 2036-12-17      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    955221 | PA      | $958113.56    | 0.00%             | 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        |     11558 | PA      | $11869.94     | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                              | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   3664000 | PA      | $3406944.53   | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31418APN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243667 | PA      | $1170334.98   | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                            | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50852000 | PA      | $44034463.06  | 0.14%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2595, Class HC                                                                                      | CUSIP: 31393PE91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38845 | PA      | $38787.50     | 0.00%             | 2023-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                   | Suncor Energy, Inc.                                                                                                      | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |  11584000 | PA      | $11643143.62  | 0.04%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                                | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |   3335000 | PA      | $2756886.69   | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Baml PIMCO Frn                                                        | Baml PIMCO Frn                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |  24470882 | PA      | $23859110.29  | 0.07%             | 2023-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| New York Life Insurance Co.                                           | New York Life Insurance Co.                                                                                              | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |  11250000 | PA      | $9258959.36   | 0.03%             | 2069-05-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2004-46, Class EP                                                                                    | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277360 | PA      | $261095.25    | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                          | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   9850000 | PA      | $8934403.59   | 0.03%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1695, Class EB                                                                                      | CUSIP: 3133T4SX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4911 | PA      | $4918.65      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                       | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1323459.56   | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51591000 | PA      | $47901155.45  | 0.15%             | 2024-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                            | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   4157000 | PA      | $3946269.20   | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                 | Bank of America Corp.                                                                                                    | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  19095000 | PA      | $16117902.75  | 0.05%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                     | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   1904000 | PA      | $1984482.14   | 0.01%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M2, Class A2                                                                                      | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21011045 | PA      | $19725145.93  | 0.06%             | 2028-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                      | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   8485000 | PA      | $8202956.56   | 0.03%             | 2026-02-11      | Fixed         | 3.41%                 | 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        |   9091122 | PA      | $9101121.87   | 0.03%             | 2032-01-10      | Floating      | 4.79%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 1998-4, Class C                                                                                      | CUSIP: 31359RA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $251.14       | 0.00%             | 2023-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New York Life Global Funding                                          | New York Life Global Funding                                                                                             | CUSIP: 64952WCX9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   4854000 | PA      | $4510135.89   | 0.01%             | 2028-01-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                                 | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  42215000 | PA      | $37962271.45  | 0.12%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K1GR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2938189 | PA      | $2731366.05   | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425603 | PA      | $439766.74    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                                 | US Auto Funding Trust, Series 2022-1A, Class C                                                                           | CUSIP: 90355FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  40434000 | PA      | $37886095.97  | 0.12%             | 2026-09-15      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1709, Class FA                                                                                      | CUSIP: 3133T4U79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $267.91       | 0.00%             | 2024-03-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2019-M10, Class X                                                                                      | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  88159238 | PA      | $4930314.21   | 0.02%             | 2049-05-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-42, Class AO                                                                                    | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26363 | PA      | $22756.71     | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                            | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   3091000 | PA      | $2933363.82   | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                         | Air Canada Pass-Through Trust, Series 2013-1, Class A                                                                    | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |   8144617 | PA      | $7376805.74   | 0.02%             | 2025-05-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2010-16, Class WB                                                                                    | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056602 | PA      | $1089668.31   | 0.00%             | 2040-03-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA ACES, Series 2018-M9, Class APT2                                                                                    | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  86522541 | PA      | $81470853.11  | 0.25%             | 2028-04-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1642, Class PJ                                                                                      | CUSIP: 3133T2DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13137 | PA      | $13137.44     | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53504 | PA      | $54969.19     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3137, Class XP                                                                                      | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382671 | PA      | $399256.05    | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                          | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $5373029.62   | 0.02%             | 2041-03-22      | Fixed         | 3.40%                 | 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        |  85196382 | PA      | $80001788.60  | 0.25%             | 2026-10-25      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                             | SCF Equipment Leasing LLC, Series 2022-2A, Class B                                                                       | CUSIP: 78397WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15677000 | PA      | $15632778.32  | 0.05%             | 2032-02-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                                        | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275671 | PA      | $279389.50    | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                        | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class AP                                                 | CUSIP: 225470FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41722 | PA      | $26790.26     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Tyson Foods, Inc.                                                     | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2839639.56   | 0.01%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244324 | PA      | $17855.95     | 0.00%             | 2038-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA Trust, Whole Loan, Series 2003-W6, Class 3A                                                                         | CUSIP: 31393BU94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669615 | PA      | $687008.04    | 0.00%             | 2042-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                               | MPLX LP                                                                                                                  | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   8800000 | PA      | $8746969.53   | 0.03%             | 2023-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                       | Citigroup, Inc.                                                                                                          | CUSIP: 172967AR2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3363000 | PA      | $3619007.47   | 0.01%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-53, Class SH                                                                                    | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643815 | PA      | $48545.32     | 0.00%             | 2037-06-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA                                                                                                                     | CUSIP: 31413HWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34621 | PA      | $34048.05     | 0.00%             | 2037-09-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2091056 | PA      | $2095825.77   | 0.01%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163258 | PA      | $138654.07    | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                  | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   3421000 | PA      | $3100982.59   | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                     | HSBC Holdings plc                                                                                                        | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  13085000 | PA      | $9967980.02   | 0.03%             | 2032-11-22      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3305, Class MG                                                                                      | CUSIP: 31397GU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186032 | PA      | $190881.80    | 0.00%             | 2034-07-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 2586, Class HD                                                                                      | CUSIP: 31393MRH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28961 | PA      | $28917.60     | 0.00%             | 2023-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                              | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 282192400 | PA      | $203928101.56 | 0.64%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                  | GNMA, Series 2014-H11, Class VA                                                                                          | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13412967 | PA      | $13224982.74  | 0.04%             | 2064-06-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                  | FNMA, REMIC, Series 2007-35, Class SI                                                                                    | CUSIP: 31396VMR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308318 | PA      | $12105.66     | 0.00%             | 2037-04-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                | Duke Energy Ohio, Inc.                                                                                                   | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |   3297000 | PA      | $2463140.73   | 0.01%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275716 | PA      | $52824.47     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                             | Commercial Mortgage Trust, Series 2020-CBM, Class B                                                                      | CUSIP: 20049AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14250000 | PA      | $12927055.65  | 0.04%             | 2037-02-10      | Fixed         | 3.10%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152826 | PA      | $150143.35    | 0.00%             | 2037-02-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC                                                                                                                    | CUSIP: 3128NHYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232937 | PA      | $233189.80    | 0.00%             | 2037-05-01      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                 | FHLMC, REMIC, Series 1455, Class WB                                                                                      | CUSIP: 312914CC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $6.46         | 0.00%             | 2022-12-15      | Floating      | 2.97%                 | 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