# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-001784
**Filing Date:** 2026-1
**Character Count:** 215910
**Document Hash:** f37308b198332094b429efde37867ce4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-001784.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0002071691-26-001784

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26571299

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

**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 Government Bond Fund (Series ID: S000003485)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009631 | Class R6     | OGGYX           |
| C000009632 | Class I      | HLGAX           |
| C000009633 | Class A      | OGGAX           |
| C000009635 | Class C      | OGVCX           |
| C000070640 | Class R2     | JGBZX           |
| C000171356 | Class R3     | OGGPX           |
| C000171357 | Class R4     | OGGQX           |

## Nport-Ex

**JPMorgan Government Bond Fund**

**Schedule of Portfolio Investments as of November 30, 2025**

**(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., 2025. |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 34.7%** | **U.S. Treasury Obligations — 34.7%** | **U.S. Treasury Obligations — 34.7%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 14500 | &nbsp;&nbsp;&nbsp;&nbsp; 10332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 27000 | &nbsp;&nbsp;&nbsp;&nbsp; 19226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 13765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 75300 | &nbsp;&nbsp;&nbsp;&nbsp; 67379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 31000 | &nbsp;&nbsp;&nbsp;&nbsp; 24405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 45380 | &nbsp;&nbsp;&nbsp;&nbsp; 46798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 25584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 21164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 1984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19491 | &nbsp;&nbsp;&nbsp;&nbsp; 9914 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 35158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 34449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.63%, 3/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 39153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 4/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11120 | &nbsp;&nbsp;&nbsp;&nbsp; 10547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 25317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 25943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 24741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17330 | &nbsp;&nbsp;&nbsp;&nbsp; 17448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 7/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 30435 | &nbsp;&nbsp;&nbsp;&nbsp; 30799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17460 | &nbsp;&nbsp;&nbsp;&nbsp; 17478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 2/28/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 25729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 17958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5135 | &nbsp;&nbsp;&nbsp;&nbsp; 5114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 24075 | &nbsp;&nbsp;&nbsp;&nbsp; 24572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 11900 | &nbsp;&nbsp;&nbsp;&nbsp; 12131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $727,960)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 681359 |
| **Mortgage-Backed Securities — 26.8%** | **Mortgage-Backed Securities — 26.8%** | **Mortgage-Backed Securities — 26.8%** |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00981, 8.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00742, 6.50%, 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00785, 6.50%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C47318, 7.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C01292, 6.00%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16155, 5.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C03589, 4.50%, 10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G61334, 4.00%, 3/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1899 | &nbsp;&nbsp;&nbsp;&nbsp; 1866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q54902, 4.00%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1736 | &nbsp;&nbsp;&nbsp;&nbsp; 1687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q54950, 4.00%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2633 | &nbsp;&nbsp;&nbsp;&nbsp; 2575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q59727, 4.00%, 11/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3473 | &nbsp;&nbsp;&nbsp;&nbsp; 3374 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other Pool # WA1640, 3.20%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10247 | &nbsp;&nbsp;&nbsp;&nbsp; 9530 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD7535, 2.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4068 | &nbsp;&nbsp;&nbsp;&nbsp; 3545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7683, 5.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6098 | &nbsp;&nbsp;&nbsp;&nbsp; 6133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA7937, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 11899 | &nbsp;&nbsp;&nbsp;&nbsp; 11967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD8324, 5.50%, 5/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 14376 | &nbsp;&nbsp;&nbsp;&nbsp; 14615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4977, 5.00%, 11/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11222 | &nbsp;&nbsp;&nbsp;&nbsp; 11244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QI4073, 5.50%, 4/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5324 | &nbsp;&nbsp;&nbsp;&nbsp; 5399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5658, 5.50%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8145 | &nbsp;&nbsp;&nbsp;&nbsp; 8310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ2920, 6.00%, 11/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8925 | &nbsp;&nbsp;&nbsp;&nbsp; 9281 |
| &nbsp;&nbsp;&nbsp; FNMA Pool # 620061, ARM, 5.23%, 11/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4449, 3.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3599 | &nbsp;&nbsp;&nbsp;&nbsp; 3537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA7114, 2.50%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10998 | &nbsp;&nbsp;&nbsp;&nbsp; 10430 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250575, 6.50%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 483802, 5.50%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 524949, 7.50%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 545639, 6.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702435, 5.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 709441, 5.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 730711, 5.50%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743127, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 747628, 5.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 753662, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755615, 5.50%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 811755, 7.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 845834, 5.50%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888201, 5.50%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 831409, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 867420, 5.50%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745802, 6.00%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 969708, 4.50%, 3/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE1216, 3.50%, 1/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp;&nbsp;&nbsp; 656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE1260, 3.50%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB5378, 3.50%, 5/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1619 | &nbsp;&nbsp;&nbsp;&nbsp; 1546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO6710, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp;&nbsp;&nbsp; 1507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT8192, 4.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1133 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS1112, 4.00%, 11/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2726 | &nbsp;&nbsp;&nbsp;&nbsp; 2676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1109, 4.00%, 10/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1844 | &nbsp;&nbsp;&nbsp;&nbsp; 1812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS4073, 4.00%, 12/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1213 | &nbsp;&nbsp;&nbsp;&nbsp; 1180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8660, 4.00%, 6/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2771 | &nbsp;&nbsp;&nbsp;&nbsp; 2725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6208, 3.50%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 574 | &nbsp;&nbsp;&nbsp;&nbsp; 553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS6344, 3.50%, 12/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 | &nbsp;&nbsp;&nbsp;&nbsp; 1606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5560, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 5009 | &nbsp;&nbsp;&nbsp;&nbsp; 4923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8030, 4.00%, 2/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1714 | &nbsp;&nbsp;&nbsp;&nbsp; 1678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3744, 4.00%, 3/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5274 | &nbsp;&nbsp;&nbsp;&nbsp; 5166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1049, 4.00%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 5382 | &nbsp;&nbsp;&nbsp;&nbsp; 5228 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA0411, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3653 | &nbsp;&nbsp;&nbsp;&nbsp; 3576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1666, 4.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3066 | &nbsp;&nbsp;&nbsp;&nbsp; 2994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3477, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp; 2625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA1006, 4.00%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3157 | &nbsp;&nbsp;&nbsp;&nbsp; 3082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ4640, 4.00%, 3/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp;&nbsp;&nbsp; 1254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD9078, 4.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1720 | &nbsp;&nbsp;&nbsp;&nbsp; 1669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD9077, 3.50%, 5/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BD9083, 4.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1836 | &nbsp;&nbsp;&nbsp;&nbsp; 1783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA2489, 4.50%, 10/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4431, 3.50%, 10/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2886 | &nbsp;&nbsp;&nbsp;&nbsp; 2695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2014, 3.00%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6326 | &nbsp;&nbsp;&nbsp;&nbsp; 5754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4732 | &nbsp;&nbsp;&nbsp;&nbsp; 4117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8787, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13954 | &nbsp;&nbsp;&nbsp;&nbsp; 12057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7706, 3.50%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18133 | &nbsp;&nbsp;&nbsp;&nbsp; 16922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4630, 5.50%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 18642 | &nbsp;&nbsp;&nbsp;&nbsp; 19175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW1328, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4066 | &nbsp;&nbsp;&nbsp;&nbsp; 4077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5131, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 12148 | &nbsp;&nbsp;&nbsp;&nbsp; 12213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3421, 5.00%, 12/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5436 | &nbsp;&nbsp;&nbsp;&nbsp; 5446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5027, 4.00%, 2/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4242 | &nbsp;&nbsp;&nbsp;&nbsp; 4052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU4029, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11865 | &nbsp;&nbsp;&nbsp;&nbsp; 11886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB6842, 5.50%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 12098 | &nbsp;&nbsp;&nbsp;&nbsp; 12295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB7319, 4.50%, 10/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 12219 | &nbsp;&nbsp;&nbsp;&nbsp; 12052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1254, 5.50%, 3/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 10978 | &nbsp;&nbsp;&nbsp;&nbsp; 11228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5879, 5.50%, 11/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 66375 | &nbsp;&nbsp;&nbsp;&nbsp; 67237 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0571, 3.10%, 1/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6500 | &nbsp;&nbsp;&nbsp;&nbsp; 6477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7199, 3.30%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2785 | &nbsp;&nbsp;&nbsp;&nbsp; 2765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FN0040, 3.04%, 6/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1678 | &nbsp;&nbsp;&nbsp;&nbsp; 1656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6800, 2.97%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3151 | &nbsp;&nbsp;&nbsp;&nbsp; 3103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6825, 2.80%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3703 | &nbsp;&nbsp;&nbsp;&nbsp; 3635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9486, 3.57%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11990 | &nbsp;&nbsp;&nbsp;&nbsp; 11905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN3908, 3.12%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7337 | &nbsp;&nbsp;&nbsp;&nbsp; 7181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1950, 3.47%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12386 | &nbsp;&nbsp;&nbsp;&nbsp; 12228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8493, 3.30%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4411 | &nbsp;&nbsp;&nbsp;&nbsp; 4254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5425, 3.15%, 3/1/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1964 | &nbsp;&nbsp;&nbsp;&nbsp; 1900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9023, 1.22%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 19619 | &nbsp;&nbsp;&nbsp;&nbsp; 17286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4576, 2.70%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 13865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8412, 3.39%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4116 | &nbsp;&nbsp;&nbsp;&nbsp; 3937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8464, 3.33%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5904 | &nbsp;&nbsp;&nbsp;&nbsp; 5620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3202, 1.94%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4572 | &nbsp;&nbsp;&nbsp;&nbsp; 3936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL2944, 3.19%, 7/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp; 1567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL3288, 2.52%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 11742 | &nbsp;&nbsp;&nbsp;&nbsp; 10353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4331, 2.41%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14822 | &nbsp;&nbsp;&nbsp;&nbsp; 12972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS2718, 1.95%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 9577 | &nbsp;&nbsp;&nbsp;&nbsp; 7859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4215, 2.56%, 9/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6633 | &nbsp;&nbsp;&nbsp;&nbsp; 5696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL7125, 2.04%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 7925 | &nbsp;&nbsp;&nbsp;&nbsp; 6348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0617, 2.50%, 3/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 4670 | &nbsp;&nbsp;&nbsp;&nbsp; 3871 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 472679, 7.00%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784010, 4.00%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 626938, 4.00%, 4/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784041, 4.00%, 8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2191 | &nbsp;&nbsp;&nbsp;&nbsp; 2114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784208, 4.00%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3154 | &nbsp;&nbsp;&nbsp;&nbsp; 3043 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &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;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2344, 8.00%, 12/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7589, 2.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4335 | &nbsp;&nbsp;&nbsp;&nbsp; 3764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH2211, 3.50%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9758 | &nbsp;&nbsp;&nbsp;&nbsp; 8831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $545,665)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 525226 |
| **Collateralized Mortgage Obligations — 25.4%** | **Collateralized Mortgage Obligations — 25.4%** | **Collateralized Mortgage Obligations — 25.4%** |
| &nbsp;&nbsp;&nbsp; FHLMC Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M55D, 4.00%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1220 | &nbsp;&nbsp;&nbsp;&nbsp; 1158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 10789 | &nbsp;&nbsp;&nbsp;&nbsp; 9844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class MT, 3.50%, 5/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 4094 | &nbsp;&nbsp;&nbsp;&nbsp; 3624 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3798, Class AY, 3.50%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3809, Class BC, 3.50%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3188, Class GE, 6.00%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3926, Class MW, 4.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999, Class PU, 7.00%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2031, Class PG, 7.00%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2035, Class PC, 6.95%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2064, Class PD, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2095, Class PE, 6.00%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4314, Class DY, 3.50%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4336, Class YB, 3.00%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2152, Class BD, 6.50%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2162, Class TH, 6.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2647, Class A, 3.25%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2480, Class EJ, 6.00%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4156, Class SB, IF, 0.27%, 1/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4170, Class TS, IF, 5.17%, 2/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3545 | &nbsp;&nbsp;&nbsp;&nbsp; 3221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4186, Class JE, 2.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3349 | &nbsp;&nbsp;&nbsp;&nbsp; 3193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4188, Class JG, 2.00%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2226 | &nbsp;&nbsp;&nbsp;&nbsp; 2122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4206, Class DA, 2.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1550 | &nbsp;&nbsp;&nbsp;&nbsp; 1476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2611, Class QZ, 5.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 546 | &nbsp;&nbsp;&nbsp;&nbsp; 556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4429, Class HB, 3.00%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6293 | &nbsp;&nbsp;&nbsp;&nbsp; 5999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2915, Class MU, 5.00%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 597 | &nbsp;&nbsp;&nbsp;&nbsp; 614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5000, Class CB, 1.25%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2879 | &nbsp;&nbsp;&nbsp;&nbsp; 2665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4448, Class DY, 3.00%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5542 | &nbsp;&nbsp;&nbsp;&nbsp; 5331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4458, Class BW, 3.00%, 4/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 6249 | &nbsp;&nbsp;&nbsp;&nbsp; 6027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class VS, IF, 11.69%, 12/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3181, Class OP, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4867, Class WF, 4.83%, 4/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2580 | &nbsp;&nbsp;&nbsp;&nbsp; 2550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3413, Class B, 5.50%, 4/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3325, Class JL, 5.50%, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1018 | &nbsp;&nbsp;&nbsp;&nbsp; 1065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3341, Class PE, 6.00%, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp;&nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4365, Class HZ, 3.00%, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2535 | &nbsp;&nbsp;&nbsp;&nbsp; 2399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3699, Class QH, 5.50%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3772, Class PE, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2370 | &nbsp;&nbsp;&nbsp;&nbsp; 2396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4047, Class PB, 3.50%, 1/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3927, Class PC, 4.50%, 9/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3165 | &nbsp;&nbsp;&nbsp;&nbsp; 3213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4002, Class CY, 3.50%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4819 | &nbsp;&nbsp;&nbsp;&nbsp; 4420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class SA, IF, IO, 2.24%, 5/15/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2130 | &nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4061, Class LB, 3.50%, 6/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3570 | &nbsp;&nbsp;&nbsp;&nbsp; 3054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4062, Class GY, 4.00%, 6/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6109 | &nbsp;&nbsp;&nbsp;&nbsp; 6037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4091, Class BQ, 2.00%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4709 | &nbsp;&nbsp;&nbsp;&nbsp; 4306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4091, Class PB, 2.00%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3672 | &nbsp;&nbsp;&nbsp;&nbsp; 3192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4122, Class PY, 3.00%, 10/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4394, Class PL, 3.50%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4594, Class GN, 2.50%, 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1283 | &nbsp;&nbsp;&nbsp;&nbsp; 1213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4606, Class KP, 2.50%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8150 | &nbsp;&nbsp;&nbsp;&nbsp; 7332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4748, Class HE, 3.00%, 1/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6567 | &nbsp;&nbsp;&nbsp;&nbsp; 6032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4974, Class PH, 1.50%, 6/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 966 | &nbsp;&nbsp;&nbsp;&nbsp; 797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4933, Class PA, 2.50%, 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5244 | &nbsp;&nbsp;&nbsp;&nbsp; 4661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4925, Class PA, 3.00%, 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7072 | &nbsp;&nbsp;&nbsp;&nbsp; 6522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5072, Class QC, 1.00%, 10/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6558 | &nbsp;&nbsp;&nbsp;&nbsp; 5386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5190, Class PH, 2.50%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4961 | &nbsp;&nbsp;&nbsp;&nbsp; 4616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5258, Class KZ, 4.00%, 9/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 20061 | &nbsp;&nbsp;&nbsp;&nbsp; 18328 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 264, Class 30, 3.00%, 7/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2532 | &nbsp;&nbsp;&nbsp;&nbsp; 2355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 267, Class 30, 3.00%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1492 | &nbsp;&nbsp;&nbsp;&nbsp; 1383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 358, Class 300, 3.00%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 8359 | &nbsp;&nbsp;&nbsp;&nbsp; 7675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 406, PO, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 6323 | &nbsp;&nbsp;&nbsp;&nbsp; 5453 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 848 | &nbsp;&nbsp;&nbsp;&nbsp; 860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A, PO, 5/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 588 | &nbsp;&nbsp;&nbsp;&nbsp; 571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 1A, 6.50%, 9/25/2043 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp; 836 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 28667 | &nbsp;&nbsp;&nbsp;&nbsp; 28206 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan Series 2004-T1, Class 1A2, 6.50%, 1/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-155, Class B, 3.50%, 1/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-58, Class PC, 6.50%, 10/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-8, Class Z, 7.50%, 2/20/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-92, Class FB, 4.84%, 4/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-67, Class SA, IF, 18.29%, 10/25/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-145, Class PB, 3.50%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4694 | &nbsp;&nbsp;&nbsp;&nbsp; 4625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-100, Class AY, 3.00%, 9/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3996 | &nbsp;&nbsp;&nbsp;&nbsp; 3893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-50, Class YO, PO, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1649 | &nbsp;&nbsp;&nbsp;&nbsp; 1440 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class PZ, 4.50%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-106, Class PY, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2591 | &nbsp;&nbsp;&nbsp;&nbsp; 2512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-130, Class GY, 3.50%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3699 | &nbsp;&nbsp;&nbsp;&nbsp; 3615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class QB, 3.00%, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2737 | &nbsp;&nbsp;&nbsp;&nbsp; 2659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QD, IF, 7.25%, 3/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-54, Class FL, 4.59%, 7/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-11, Class AQ, 3.00%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4139 | &nbsp;&nbsp;&nbsp;&nbsp; 3970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class EH, 5.00%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 966 | &nbsp;&nbsp;&nbsp;&nbsp; 991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-28, Class GB, 3.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-41, Class AY, 3.00%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4653 | &nbsp;&nbsp;&nbsp;&nbsp; 4411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-51, Class LY, 3.00%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2442 | &nbsp;&nbsp;&nbsp;&nbsp; 2354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-58, Class EP, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-59, Class EB, 3.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3842 | &nbsp;&nbsp;&nbsp;&nbsp; 3698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-83, Class LA, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-65, Class LD, 3.50%, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7057 | &nbsp;&nbsp;&nbsp;&nbsp; 6832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-116, Class PC, 6.00%, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-51, Class FP, 4.54%, 3/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 398 | &nbsp;&nbsp;&nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-28, Class DW, 3.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 4491 | &nbsp;&nbsp;&nbsp;&nbsp; 4296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-81, Class FA, 4.54%, 9/25/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class PE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-47, Class MB, 5.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 972 | &nbsp;&nbsp;&nbsp;&nbsp; 1004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-4, Class SL, IF, 2.17%, 2/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-11, Class CB, 4.50%, 2/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-115, Class ME, 1.75%, 3/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1172 | &nbsp;&nbsp;&nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-60, Class EP, 3.00%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-50, Class HY, 4.00%, 5/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 5566 | &nbsp;&nbsp;&nbsp;&nbsp; 5350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-138, Class YS, IF, 2.22%, 12/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3405 | &nbsp;&nbsp;&nbsp;&nbsp; 2540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class PB, 2.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3305 | &nbsp;&nbsp;&nbsp;&nbsp; 2815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-139, Class JA, 3.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2144 | &nbsp;&nbsp;&nbsp;&nbsp; 2066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, Class AO, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 3417 | &nbsp;&nbsp;&nbsp;&nbsp; 2682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class AL, 2.00%, 3/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 11863 | &nbsp;&nbsp;&nbsp;&nbsp; 9398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-48, Class DE, 3.00%, 10/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 11333 | &nbsp;&nbsp;&nbsp;&nbsp; 10863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-45, Class PC, 3.00%, 9/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4104 | &nbsp;&nbsp;&nbsp;&nbsp; 3868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-38, Class NA, 3.00%, 1/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4650 | &nbsp;&nbsp;&nbsp;&nbsp; 4410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-71, Class CA, 2.50%, 7/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8532 | &nbsp;&nbsp;&nbsp;&nbsp; 8072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-38, Class PC, 3.00%, 2/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4257 | &nbsp;&nbsp;&nbsp;&nbsp; 4059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class PA, 2.50%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4628 | &nbsp;&nbsp;&nbsp;&nbsp; 4321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34, Class WA, 3.50%, 8/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4139 | &nbsp;&nbsp;&nbsp;&nbsp; 4005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-42, Class KA, 3.00%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7718 | &nbsp;&nbsp;&nbsp;&nbsp; 7145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-81, Class JA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8709 | &nbsp;&nbsp;&nbsp;&nbsp; 7763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-77, Class ZL, 3.00%, 1/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 17718 | &nbsp;&nbsp;&nbsp;&nbsp; 15673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12, Class JC, 2.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 15557 | &nbsp;&nbsp;&nbsp;&nbsp; 13357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-41, Class HV, 2.00%, 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4896 | &nbsp;&nbsp;&nbsp;&nbsp; 3742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-41, PO, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4215 | &nbsp;&nbsp;&nbsp;&nbsp; 3517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-18, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 16003 | &nbsp;&nbsp;&nbsp;&nbsp; 13667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-31, Class MA, 0.50%, 9/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp;&nbsp;&nbsp; 1312 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-W4, Class A9, 6.25%, 2/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-W7, Class A4, 6.00%, 6/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.70%, 12/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.08%, 12/25/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W1, Class 1A2, 6.50%, 10/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp; 724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-27, Class PD, 5.50%, 4/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-15, Class NB, 4.50%, 2/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.33%, 5/16/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-42, Class TX, 4.50%, 6/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2488 | &nbsp;&nbsp;&nbsp;&nbsp; 2529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, Class WM, 5.50%, 8/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 623 | &nbsp;&nbsp;&nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-29, Class Z, 5.00%, 5/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 10128 | &nbsp;&nbsp;&nbsp;&nbsp; 10268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-126, Class BE, 2.00%, 10/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class E, 3.50%, 11/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4417 | &nbsp;&nbsp;&nbsp;&nbsp; 4328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-61, Class HC, 1.50%, 1/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 10759 | &nbsp;&nbsp;&nbsp;&nbsp; 8859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-123, Class MA, 3.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9157 | &nbsp;&nbsp;&nbsp;&nbsp; 8386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-133, Class KB, 1.00%, 8/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7233 | &nbsp;&nbsp;&nbsp;&nbsp; 5941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-197, Class BN, 3.00%, 5/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10622 | &nbsp;&nbsp;&nbsp;&nbsp; 9970 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-79, Class NM, 3.50%, 12/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8011 | &nbsp;&nbsp;&nbsp;&nbsp; 7195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-94, Class AO, PO, 5/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7068 | &nbsp;&nbsp;&nbsp;&nbsp; 5023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-120, Class LN, 4.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-151, Class CM, 4.50%, 5/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-164, Class AO, PO, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4786 | &nbsp;&nbsp;&nbsp;&nbsp; 3857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-159, Class PA, 4.50%, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 15467 | &nbsp;&nbsp;&nbsp;&nbsp; 15316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-100, Class JS, IF, 4.68%, 6/20/2055 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6734 | &nbsp;&nbsp;&nbsp;&nbsp; 6665 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust Series 2025-1, Class MAU, 3.25%, 11/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 13260 | &nbsp;&nbsp;&nbsp;&nbsp; 12370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $514,585)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 497885 |
| **Commercial Mortgage-Backed Securities — 8.4%** | **Commercial Mortgage-Backed Securities — 8.4%** | **Commercial Mortgage-Backed Securities — 8.4%** |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K067, Class A2, 3.19%, 7/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6558 | &nbsp;&nbsp;&nbsp;&nbsp; 6490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series W5FX, Class AFX, 3.21%, 4/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3436 | &nbsp;&nbsp;&nbsp;&nbsp; 3393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K078, Class A2, 3.85%, 6/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5779 | &nbsp;&nbsp;&nbsp;&nbsp; 5782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8700 | &nbsp;&nbsp;&nbsp;&nbsp; 8667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K158, Class A1, 3.90%, 7/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7019 | &nbsp;&nbsp;&nbsp;&nbsp; 7029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1511, Class A1, 3.28%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7275 | &nbsp;&nbsp;&nbsp;&nbsp; 7157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K753, Class A2, 4.40%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 7805 | &nbsp;&nbsp;&nbsp;&nbsp; 7943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K149, Class A2, 3.53%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1511, Class A3, 3.54%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-1512, Class A3, 3.06%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q007, Class APT2, 6.44%, 10/25/2047 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp; 1132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class APT2, 1.17%, 5/25/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9386 | &nbsp;&nbsp;&nbsp;&nbsp; 9058 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.56%, 12/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3558 | &nbsp;&nbsp;&nbsp;&nbsp; 3506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M4, Class A2, 2.66%, 12/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3613 | &nbsp;&nbsp;&nbsp;&nbsp; 3561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M7, Class A2, 2.96%, 2/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3352 | &nbsp;&nbsp;&nbsp;&nbsp; 3314 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **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-M4, Class A2, 3.16%, 3/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9120 | &nbsp;&nbsp;&nbsp;&nbsp; 8982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.42%, 6/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7829 | &nbsp;&nbsp;&nbsp;&nbsp; 7740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M5, Class A2, 3.27%, 2/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7947 | &nbsp;&nbsp;&nbsp;&nbsp; 7814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.88%, 8/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp; 4668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A2, 4.63%, 3/25/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M31, Class A2, 2.85%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 4932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M8, Class AL, 2.01%, 3/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 17843 | &nbsp;&nbsp;&nbsp;&nbsp; 14825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M24, Class A3, 1.75%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 12395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-M14, Class AL2, 3.07%, 4/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5758 | &nbsp;&nbsp;&nbsp;&nbsp; 5406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $174,930)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 164310 |
| **U.S. Government Agency Securities — 2.1%** | **U.S. Government Agency Securities — 2.1%** | **U.S. Government Agency Securities — 2.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FFCB Funding Corp. <br>5.75%, 5/11/2026<br>| &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10082 |
| &nbsp;&nbsp;&nbsp; Resolution Funding Corp. STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 28.80%, 4/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 13752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 7.14%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15700 | &nbsp;&nbsp;&nbsp;&nbsp; 13455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 27.64%, 4/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $39,802)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 41530 |
|  | &nbsp;&nbsp;&nbsp; **NO. OF** <br> **CONTRACTS**<br>|  |
| **Options Purchased — 0.0% ^** | **Options Purchased — 0.0% ^** | **Options Purchased — 0.0% ^** |
| **Call Options Purchased — 0.0% ^** | **Call Options Purchased — 0.0% ^** | **Call Options Purchased — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury 30 Year Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/23/2026 at USD 130.00, American Style |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional Amount: USD 450,000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Counterparty: Exchange-Traded \* | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury 30 Year Bond |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1/23/2026 at USD 140.00, American Style |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Notional Amount: USD 450,000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Counterparty: Exchange-Traded \* | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Call Options Purchased <br>(Cost $984)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 2.3%** | **Short-Term Investments — 2.3%** | **Short-Term Investments — 2.3%** |
| **Investment Companies — 2.3%** | **Investment Companies — 2.3%** | **Investment Companies — 2.3%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.85% (c) (d) <br>(Cost $45,397)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 45397 | &nbsp;&nbsp;&nbsp;&nbsp; 45397 |
| **Total Investments — 99.7%** <br>**(Cost $2,049,323)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **1955969** |
| **Other Assets in Excess of Liabilities — 0.3%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **6684** |
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **1962653** |

---

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

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2025. |
| DN | Discount Notes |
| FFCB | Federal Farm Credit Bank |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of November 30, 2025. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| 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. |
| \* | Non-income producing security.  |
| (a) | 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, 2025. <br>|
| (b) | The rate shown is the effective yield as of November 30, 2025.  |
| (c) | 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>|
| (d) | The rate shown is the current yield as of November 30, 2025. |

---

**Futures contracts outstanding as of November 30, 2025 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 61772 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 389 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 81246 | &nbsp;&nbsp;&nbsp;&nbsp; (7)<br>|
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 84629 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; (204)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (23702)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (95)<br>|
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (45)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (5442)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (40)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (135)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 89 |

---

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

---

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

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

**Written Call Options Contracts as of November 30, 2025 (amounts in thousands, except number of contracts):**

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | **COUNTERPARTY** | &nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT**<br>| &nbsp;&nbsp;&nbsp; **EXERCISE** <br>**PRICE**<br>| &nbsp;&nbsp; **EXPIRATION** <br>**DATE**<br>| **VALUE ($)** |
| U.S. Treasury 30 Year Bond | Exchange-Traded | 9000 | &nbsp;&nbsp;&nbsp;&nbsp; USD<br> 900,000<br>| &nbsp;&nbsp;&nbsp;&nbsp; USD<br> 135.00<br>| 1/23/2026 | &nbsp;&nbsp; (211)<br>|
| Total Written Options Contracts (Premiums Received $(703)) | Total Written Options Contracts (Premiums Received $(703)) | Total Written Options Contracts (Premiums Received $(703)) | Total Written Options Contracts (Premiums Received $(703)) | Total Written Options Contracts (Premiums Received $(703)) | Total Written Options Contracts (Premiums Received $(703)) | &nbsp;&nbsp; (211)<br>|

---

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

---

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

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(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 Securities and Exchange Commission 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.

Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as "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 per share as of the report date.

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

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.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &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** |  |  |  |  |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $497885 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $497885 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 164310 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 164310 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 525226 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 525226 |
| Options Purchased | &nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41530 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 41530 |

---

------

**JPMorgan Government Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &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** |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $681359 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $681359 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 45397 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 45397 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $45659 | &nbsp;&nbsp;&nbsp;&nbsp; $1910310 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $1955969 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $231 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $231 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $(142)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(142)<br>|
| Options Written |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Call Options Written | &nbsp;&nbsp;&nbsp;&nbsp; (211)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (211)<br>|
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(122)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(122)<br>|

---

**B. Investment Transactions with Affiliates**— The Fund invested in an Underlying Fund 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, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<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>**2025**<br>| **Shares at** <br>**November 30,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market <br> Fund Class Institutional Shares, 3.85% <br> (a) (b)<br>| $39433 | $455173 | $449209 | $— | $— | $45397 | 45397 | $1511 | $— |

---

&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, 2025.

------

## 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:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

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

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

- **a. Name of Series:** JPMorgan Government Bond Fund

- **b. EDGAR series identifier (if any):** S000003485

- **c. LEI of Series:** 549300SMSIKAH2NAKR95

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-11-30

**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:** $1964255493.43

**Total Liabilities:** $1028513.54

**Net Assets:** $1963226979.89

**Cash Not Reported:** $436087.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 565.91605000 | **1-Year:** 35439.04722000 | **5-Year:** 330939.84590000 | **10-Year:** 190630.57304000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009631 | 0.90%                | 0.70%                | 0.70%                |
| Class ID C000009632 | 0.89%                | 0.69%                | 0.69%                |
| Class ID C000009633 | 0.87%                | 0.67%                | 0.67%                |
| Class ID C000009635 | 0.93%                | 0.53%                | 0.63%                |
| Class ID C000070640 | 0.84%                | 0.64%                | 0.64%                |
| Class ID C000171356 | 0.86%                | 0.66%                | 0.66%                |
| Class ID C000171357 | 0.88%                | 0.68%                | 0.68%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6196917.41             | $19475937.91                               |
| Month 2  | $-11374454.21            | $18675897.27                               |
| Month 3  | $-7689568.84             | $15557323.27                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       527 | PA      | $531.91       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 264, Class 30                                               | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2532386 | PA      | $2354789.45   | 0.12%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 267, Class 30                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1492427 | PA      | $1383255.35   | 0.07%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5746 | PA      | $5948.77      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14175 | PA      | $14676.22     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8687 | PA      | $8979.89      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292K7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250376 | PA      | $253066.55    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31296QZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39177 | PA      | $39712.95     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31298GDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92151 | PA      | $96550.88     | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11221779 | PA      | $11244469.61  | 0.57%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DTJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8145468 | PA      | $8309620.88   | 0.42%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4068009 | PA      | $3544908.87   | 0.18%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14376003 | PA      | $14615424.18  | 0.74%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 358, Class 300                                              | CUSIP: 3132J0Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8359264 | PA      | $7674688.96   | 0.39%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC Gold Pools, Other                                                           | CUSIP: 3132WVBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10247212 | PA      | $9530186.28   | 0.49%             | 2034-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132XXNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1735619 | PA      | $1687114.95   | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132XXQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2633323 | PA      | $2574525.07   | 0.13%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132Y3YZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3473368 | PA      | $3373955.37   | 0.17%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                         | FFCB Funding Corp.                                                                | CUSIP: 31331VYY6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $10082281.90  | 0.51%             | 2026-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31335BPT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898540 | PA      | $1865812.19   | 0.10%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2367, Class ME                                               | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76101 | PA      | $79756.48     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6098224 | PA      | $6132868.64   | 0.31%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11898980 | PA      | $11966580.28  | 0.61%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 406                                                         | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6323155 | PA      | $5453281.22   | 0.28%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 1999, Class PU                                               | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       849 | PA      | $848.88       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2031, Class PG                                               | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11657 | PA      | $11817.34     | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2035, Class PC                                               | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31064 | PA      | $31383.49     | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2064, Class PD                                               | CUSIP: 3133TELJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21705 | PA      | $22091.59     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2095, Class PE                                               | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21165 | PA      | $21539.18     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2152, Class BD                                               | CUSIP: 3133TKX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5431 | PA      | $5487.37      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2162, Class TH                                               | CUSIP: 3133TLBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46690 | PA      | $47442.00     | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133WAQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5323796 | PA      | $5398641.10   | 0.27%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2001-33, Class ID                                             | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56533 | PA      | $5657.19      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 1998-58, Class PC                                             | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59567 | PA      | $60448.99     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9                           | CUSIP: 31359VA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14038 | PA      | $14239.76     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2000-8, Class Z                                               | CUSIP: 31359XYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32070 | PA      | $33438.55     | 0.00%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2011-145, Class PB                                            | CUSIP: 3136A3BT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4694273 | PA      | $4624815.70   | 0.24%             | 2032-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-50, Class HY                                             | CUSIP: 3136A52B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5566000 | PA      | $5350009.70   | 0.27%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-60, Class EP                                             | CUSIP: 3136A6MJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455604 | PA      | $438695.45    | 0.02%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-100, Class AY                                            | CUSIP: 3136A8PH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3996235 | PA      | $3892714.17   | 0.20%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-115, Class ME                                            | CUSIP: 3136A9CG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172524 | PA      | $1114300.10   | 0.06%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-141, Class PB                                            | CUSIP: 3136AAAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3305000 | PA      | $2814784.55   | 0.14%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-138, Class YS                                            | CUSIP: 3136AAEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3404647 | PA      | $2540374.27   | 0.13%             | 2042-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-139, Class JA                                            | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2143611 | PA      | $2065875.58   | 0.11%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-50, Class YO                                             | CUSIP: 3136AD5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649058 | PA      | $1439713.58   | 0.07%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-106, Class PY                                            | CUSIP: 3136AGG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2590614 | PA      | $2512110.23   | 0.13%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-130, Class GY                                            | CUSIP: 3136AHE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3699000 | PA      | $3615299.40   | 0.18%             | 2034-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-128, Class AO                                            | CUSIP: 3136AHMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3417181 | PA      | $2681847.55   | 0.14%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2014-2, Class QB                                              | CUSIP: 3136AJBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2736567 | PA      | $2658506.14   | 0.14%             | 2034-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-11, Class AQ                                             | CUSIP: 3136AMXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4139074 | PA      | $3970375.34   | 0.20%             | 2035-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-28, Class GB                                             | CUSIP: 3136ANVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3922786.80   | 0.20%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-41, Class AY                                             | CUSIP: 3136ANYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4653181 | PA      | $4411089.49   | 0.22%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-65, Class LD                                             | CUSIP: 3136AP3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7057000 | PA      | $6831682.69   | 0.35%             | 2036-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-51, Class LY                                             | CUSIP: 3136APJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2442264 | PA      | $2354106.02   | 0.12%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-48, Class DE                                             | CUSIP: 3136APKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11332845 | PA      | $10863235.69  | 0.55%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-59, Class EB                                             | CUSIP: 3136APVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3842340 | PA      | $3698460.63   | 0.19%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-28, Class DW                                             | CUSIP: 3136AR2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4491425 | PA      | $4295587.19   | 0.22%             | 2036-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-38, Class NA                                             | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4649557 | PA      | $4409841.46   | 0.22%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-45, Class PC                                             | CUSIP: 3136ASZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4104499 | PA      | $3868379.48   | 0.20%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                        | FNMA, Grantor Trust, Series 2017-T1, Class A                                      | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28667525 | PA      | $28206092.86  | 1.44%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M7, Class A2                                               | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3352500 | PA      | $3314178.91   | 0.17%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M4, Class A2                                               | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3612694 | PA      | $3560799.25   | 0.18%             | 2026-12-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M3, Class A2                                               | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3557728 | PA      | $3506035.59   | 0.18%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M4, Class A2                                               | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9119650 | PA      | $8981812.49   | 0.46%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M8, Class A2                                               | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7828861 | PA      | $7740517.41   | 0.39%             | 2028-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M5, Class A2                                               | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7946642 | PA      | $7814109.12   | 0.40%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-38, Class PC                                             | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4256664 | PA      | $4058757.48   | 0.21%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-34, Class WA                                             | CUSIP: 3136B5KL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4138849 | PA      | $4004735.35   | 0.20%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M14, Class AL2                                             | CUSIP: 3136B5RA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5757881 | PA      | $5405557.15   | 0.28%             | 2048-04-25      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-42, Class KA                                             | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7717922 | PA      | $7144559.58   | 0.36%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-71, Class CA                                             | CUSIP: 3136B6ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8532021 | PA      | $8071971.58   | 0.41%             | 2046-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-65, Class PA                                             | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4627949 | PA      | $4321016.39   | 0.22%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-77, Class ZL                                             | CUSIP: 3136B7L66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17717985 | PA      | $15672746.61  | 0.80%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M31, Class A2                                              | CUSIP: 3136B7S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4932324.65   | 0.25%             | 2034-04-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M8, Class AL                                               | CUSIP: 3136B86L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17842825 | PA      | $14825386.00  | 0.76%             | 2035-03-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-81, Class JA                                             | CUSIP: 3136B8FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8709074 | PA      | $7762667.46   | 0.40%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2020-12, Class JC                                             | CUSIP: 3136B8G60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15557364 | PA      | $13356902.78  | 0.68%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M24, Class A3                                              | CUSIP: 3136B9J81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $12395310.00  | 0.63%             | 2037-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2022-M2S, Class A2                                              | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4668463.20   | 0.24%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-6, Class AL                                              | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11863000 | PA      | $9397672.86   | 0.48%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2023-41                                                       | CUSIP: 3136BQFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4215045 | PA      | $3517307.92   | 0.18%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2023-M8, Class A2                                               | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6095736.00   | 0.31%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-41, Class HV                                             | CUSIP: 3136BSMV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4896108 | PA      | $3741714.43   | 0.19%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-18, Class MA                                             | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16002728 | PA      | $13667277.20  | 0.70%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-31, Class MA                                             | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550663 | PA      | $1311639.27   | 0.07%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31371FJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       461 | PA      | $476.94       | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3699, Class QH                                               | CUSIP: 3137A0AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338602 | PA      | $349260.64    | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3772, Class PE                                               | CUSIP: 3137A4J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2370036 | PA      | $2396072.90   | 0.12%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3798, Class AY                                               | CUSIP: 3137A66S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7034 | PA      | $7018.34      | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3809, Class BC                                               | CUSIP: 3137A6EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1298 | PA      | $1294.54      | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3926, Class MW                                               | CUSIP: 3137AFC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78341 | PA      | $78202.20     | 0.00%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3927, Class PC                                               | CUSIP: 3137AFE73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3165073 | PA      | $3212767.63   | 0.16%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4002, Class CY                                               | CUSIP: 3137ALZ93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4819000 | PA      | $4419547.31   | 0.23%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4039, Class SA                                               | CUSIP: 3137AQR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2129938 | PA      | $272934.71    | 0.01%             | 2042-05-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4047, Class PB                                               | CUSIP: 3137AQSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339849 | PA      | $338887.55    | 0.02%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4061, Class LB                                               | CUSIP: 3137ARCM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3569638 | PA      | $3054477.84   | 0.16%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4062, Class GY                                               | CUSIP: 3137ARFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6109000 | PA      | $6037055.53   | 0.31%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class BQ                                               | CUSIP: 3137ATCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4709053 | PA      | $4306461.37   | 0.22%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class PB                                               | CUSIP: 3137ATFQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3672531 | PA      | $3191982.52   | 0.16%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4122, Class PY                                               | CUSIP: 3137AV2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2774394.90   | 0.14%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4156, Class SB                                               | CUSIP: 3137AXTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    561556 | PA      | $508413.38    | 0.03%             | 2033-01-15      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4170, Class TS                                               | CUSIP: 3137AYZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3545016 | PA      | $3221087.28   | 0.16%             | 2033-02-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4186, Class JE                                               | CUSIP: 3137B0S70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3349468 | PA      | $3192867.19   | 0.16%             | 2033-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4188, Class JG                                               | CUSIP: 3137B1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2225608 | PA      | $2122405.06   | 0.11%             | 2033-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4206, Class DA                                               | CUSIP: 3137B2FD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1550344 | PA      | $1475727.13   | 0.08%             | 2033-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4314, Class DY                                               | CUSIP: 3137B9EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560217 | PA      | $557425.24    | 0.03%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4336, Class YB                                               | CUSIP: 3137BAZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165840 | PA      | $165141.02    | 0.01%             | 2029-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4365, Class HZ                                               | CUSIP: 3137BCP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2534917 | PA      | $2399191.27   | 0.12%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4394, Class PL                                               | CUSIP: 3137BEUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4699597.00   | 0.24%             | 2044-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4429, Class HB                                               | CUSIP: 3137BG6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6292600 | PA      | $5998585.19   | 0.31%             | 2035-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4448, Class DY                                               | CUSIP: 3137BGYD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5541618 | PA      | $5331401.15   | 0.27%             | 2035-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4458, Class BW                                               | CUSIP: 3137BHE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6248983 | PA      | $6027381.33   | 0.31%             | 2035-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4594, Class GN                                               | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282756 | PA      | $1212588.38   | 0.06%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4606, Class KP                                               | CUSIP: 3137BR4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8150071 | PA      | $7331532.93   | 0.37%             | 2046-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5072, Class QC                                               | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6557587 | PA      | $5385831.86   | 0.27%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class A2   | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6558000 | PA      | $6489971.90   | 0.33%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4748, Class HE                                               | CUSIP: 3137FCZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6567000 | PA      | $6031700.19   | 0.31%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | 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        |   3436000 | PA      | $3392617.41   | 0.17%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class A2   | CUSIP: 3137FGR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5779000 | PA      | $5781684.35   | 0.29%             | 2028-06-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2 | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1130435 | PA      | $1131764.47   | 0.06%             | 2047-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K158, Class A1   | CUSIP: 3137FJY52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7019472 | PA      | $7028915.96   | 0.36%             | 2030-07-25      | Fixed         | 3.90%                 | No            |                  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        |   8700000 | PA      | $8666987.85   | 0.44%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4867, Class WF                                               | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2579580 | PA      | $2549552.57   | 0.13%             | 2037-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1 | CUSIP: 3137FLYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7275240 | PA      | $7156544.51   | 0.36%             | 2030-10-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A3 | CUSIP: 3137FLYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9498315.00   | 0.48%             | 2034-03-25      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class A3 | CUSIP: 3137FMTT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9135646.00   | 0.47%             | 2034-04-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4925, Class PA                                               | CUSIP: 3137FPBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7072082 | PA      | $6522467.24   | 0.33%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4933, Class PA                                               | CUSIP: 3137FQJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5244467 | PA      | $4661070.08   | 0.24%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4974, Class PH                                               | CUSIP: 3137FTE29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    966198 | PA      | $797224.41    | 0.04%             | 2048-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5000, Class CB                                               | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2879077 | PA      | $2664516.68   | 0.14%             | 2035-01-25      | Fixed         | 1.25%                 | 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        |   9385644 | PA      | $9057865.25   | 0.46%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5190, Class PH                                               | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4960842 | PA      | $4616093.26   | 0.24%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5258, Class KZ                                               | CUSIP: 3137H8YN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20061173 | PA      | $18327983.91  | 0.93%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K149, Class A2   | CUSIP: 3137H93C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5786420.40   | 0.29%             | 2032-08-25      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2   | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7805000 | PA      | $7942729.37   | 0.40%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31382JNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30863 | PA      | $31254.03     | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31384JEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       263 | PA      | $262.94       | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39433 | PA      | $41388.22     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA                                                                              | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1726 | PA      | $1707.21      | 0.00%             | 2027-11-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138EQ4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1713587 | PA      | $1678251.65   | 0.09%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138ETTS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2771162 | PA      | $2725334.44   | 0.14%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138L77M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2784543 | PA      | $2764903.99   | 0.14%             | 2026-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LCT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6477329.50   | 0.33%             | 2026-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LGKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7336542 | PA      | $7180746.52   | 0.37%             | 2029-01-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LKRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3151209 | PA      | $3102826.04   | 0.16%             | 2027-09-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LKSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3703463 | PA      | $3635137.60   | 0.19%             | 2027-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMK28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4116249 | PA      | $3937489.61   | 0.20%             | 2033-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMMN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5904098 | PA      | $5620144.12   | 0.29%             | 2033-03-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4410778 | PA      | $4253637.01   | 0.22%             | 2030-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11989970 | PA      | $11905099.13  | 0.61%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138LXN47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1533888 | PA      | $1507029.88   | 0.08%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138NJBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1677691 | PA      | $1656461.25   | 0.08%             | 2027-06-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WAGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2726299 | PA      | $2676300.79   | 0.14%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213038 | PA      | $1180408.99   | 0.06%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WF3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573810 | PA      | $552915.87    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WGBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1693857 | PA      | $1605722.39   | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WWC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132960 | PA      | $1112416.30   | 0.06%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4                           | CUSIP: 31392DD41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313681 | PA      | $316272.41    | 0.02%             | 2029-06-25      | Fixed         | 6.00%                 | 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        |    210429 | PA      | $212625.71    | 0.01%             | 2042-12-25      | Variable      | 4.70%                 | 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        |    121790 | PA      | $123332.17    | 0.01%             | 2042-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2002-92, Class FB                                             | CUSIP: 31392HBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89809 | PA      | $90041.80     | 0.00%             | 2030-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-21, Class PZ                                             | CUSIP: 31392JV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448892 | PA      | $442577.03    | 0.02%             | 2033-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2480, Class EJ                                               | CUSIP: 31392TF85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99594 | PA      | $103736.36    | 0.01%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A    | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795307 | PA      | $836093.48    | 0.04%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-67, Class SA                                             | CUSIP: 31393DNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6868 | PA      | $7839.30      | 0.00%             | 2031-10-25      | Floating      | 18.29%                | No            |                  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        |    847886 | PA      | $860293.60    | 0.04%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2611, Class QZ                                               | CUSIP: 31393QYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546073 | PA      | $555689.95    | 0.03%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A     | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587615 | PA      | $571404.43    | 0.03%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                        | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86809 | PA      | $89676.57     | 0.00%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2004-46, Class QD                                             | CUSIP: 31393YU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5501 | PA      | $5532.00      | 0.00%             | 2034-03-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2004-54, Class FL                                             | CUSIP: 31394AGS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127432 | PA      | $127110.67    | 0.01%             | 2034-07-25      | Floating      | 4.59%                 | 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        |    693939 | PA      | $723541.95    | 0.04%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-22, Class EH                                             | CUSIP: 31394DDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966327 | PA      | $991087.95    | 0.05%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-58, Class EP                                             | CUSIP: 31394ECS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57851 | PA      | $59495.02     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-83, Class LA                                             | CUSIP: 31394FH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104331 | PA      | $107645.38    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2647, Class A                                                | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22762 | PA      | $22387.67     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-116, Class PC                                            | CUSIP: 31394VBX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363920 | PA      | $375456.25    | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-51, Class FP                                             | CUSIP: 31395DS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397755 | PA      | $396983.14    | 0.02%             | 2036-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2915, Class MU                                               | CUSIP: 31395LE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596742 | PA      | $614191.42    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3085, Class VS                                               | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105337 | PA      | $128925.05    | 0.01%             | 2035-12-15      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-81, Class FA                                             | CUSIP: 31396KM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12016 | PA      | $11918.39     | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-110                                                      | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136597 | PA      | $119679.87    | 0.01%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3188, Class GE                                               | CUSIP: 31396UNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14133 | PA      | $14138.24     | 0.00%             | 2026-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3181, Class OP                                               | CUSIP: 31396URH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419899 | PA      | $371065.20    | 0.02%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2007-76, Class PE                                             | CUSIP: 31396WZ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424396 | PA      | $449709.53    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3325, Class JL                                               | CUSIP: 31397JE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018179 | PA      | $1064598.00   | 0.05%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3341, Class PE                                               | CUSIP: 31397JNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647651 | PA      | $684924.46    | 0.03%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-155, Class B                                             | CUSIP: 31397Q5Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11028 | PA      | $10993.19     | 0.00%             | 2026-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3413, Class B                                                | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197489 | PA      | $205447.71    | 0.01%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                            | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129668 | PA      | $135114.55    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-11, Class CB                                             | CUSIP: 31398GA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47672 | PA      | $46582.26     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-4, Class SL                                              | CUSIP: 31398GU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45632 | PA      | $38956.00     | 0.00%             | 2040-02-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-47, Class MB                                             | CUSIP: 31398PNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971589 | PA      | $1004373.13   | 0.05%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401ALQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330626 | PA      | $339523.90    | 0.02%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401JEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95086 | PA      | $96289.58     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31402JYG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143212 | PA      | $145614.45    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403ASQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136922 | PA      | $138655.64    | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403DRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251037 | PA      | $265094.87    | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403FSR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189639 | PA      | $191053.51    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403NJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158344 | PA      | $161312.55    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403RN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198448 | PA      | $201845.46    | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31406JZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509357 | PA      | $533673.79    | 0.03%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31407HVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245040 | PA      | $254963.19    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31408AV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120521 | PA      | $125400.74    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31409CVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161995 | PA      | $168555.28    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105460 | PA      | $100790.41    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1720305 | PA      | $1669391.96   | 0.09%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1835849 | PA      | $1782753.11   | 0.09%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4670218 | PA      | $3870664.38   | 0.20%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140H2Z84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3066200 | PA      | $2993697.43   | 0.15%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140H6EN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284376 | PA      | $1254006.59   | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HTEY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12385852 | PA      | $12227611.82  | 0.62%             | 2029-03-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1566605.39   | 0.08%             | 2034-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11741828 | PA      | $10352753.50  | 0.53%             | 2034-09-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6632929 | PA      | $5695684.79   | 0.29%             | 2036-09-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14822022 | PA      | $12971867.18  | 0.66%             | 2034-10-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HWCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13864622.10  | 0.71%             | 2031-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HY4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7925099 | PA      | $6347645.46   | 0.32%             | 2037-06-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140J2AZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19618574 | PA      | $17285929.04  | 0.88%             | 2030-11-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J5EX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5382450 | PA      | $5228196.45   | 0.27%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J5GT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1843988 | PA      | $1811705.56   | 0.09%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J72K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2700105 | PA      | $2625221.87   | 0.13%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J8ES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5273562 | PA      | $5165934.19   | 0.26%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140JAA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1964388 | PA      | $1900354.93   | 0.10%             | 2030-03-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JAFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5008505 | PA      | $4922884.03   | 0.25%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9576760 | PA      | $7858801.62   | 0.40%             | 2036-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4572112 | PA      | $3935538.37   | 0.20%             | 2033-09-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140M5PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11865442 | PA      | $11886370.28  | 0.61%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4066435 | PA      | $4077378.18   | 0.21%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q7N52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3653192 | PA      | $3575603.57   | 0.18%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q8DL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3157471 | PA      | $3082202.62   | 0.16%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q9XT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809636 | PA      | $806065.49    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QB4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2885843 | PA      | $2695347.56   | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10997801 | PA      | $10430500.31  | 0.53%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4731846 | PA      | $4117430.35   | 0.21%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18641755 | PA      | $19175354.71  | 0.98%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12147636 | PA      | $12212887.42  | 0.62%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QSS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12097517 | PA      | $12295272.90  | 0.63%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QTDZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12219414 | PA      | $12051765.27  | 0.61%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140W1MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10978464 | PA      | $11227531.37  | 0.57%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140X5GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6326043 | PA      | $5754216.43   | 0.29%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140X75K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3598980 | PA      | $3537393.86   | 0.18%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13953791 | PA      | $12057072.32  | 0.61%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XJYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5436021 | PA      | $5446166.57   | 0.28%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XLSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4242207 | PA      | $4052287.61   | 0.21%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XPR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18132653 | PA      | $16922457.28  | 0.86%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50661 | PA      | $52782.73     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31414LYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31135 | PA      | $31318.63     | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31417B6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1619009 | PA      | $1546199.87   | 0.08%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31418FQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  66375288 | PA      | $67236996.22  | 3.42%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31419BK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681437 | PA      | $656206.97    | 0.03%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31419BMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440577 | PA      | $417276.16    | 0.02%             | 2041-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3142GTG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8924555 | PA      | $9281390.93   | 0.47%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D              | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1220091 | PA      | $1157915.23   | 0.06%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G              | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10788859 | PA      | $9844342.55   | 0.50%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4094331 | PA      | $3624108.93   | 0.18%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust        | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                     | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13260532 | PA      | $12370321.66  | 0.63%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4334708 | PA      | $3763529.95   | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3617N65U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.08         | 0.00%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 3617WTN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9757959 | PA      | $8830948.69   | 0.45%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       674 | PA      | $676.06       | 0.00%             | 2026-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       269 | PA      | $269.75       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4736 | PA      | $4800.80      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        65 | PA      | $65.67        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2N32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323710 | PA      | $318042.45    | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2P22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2191393 | PA      | $2114063.07   | 0.11%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2U91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3154143 | PA      | $3042773.62   | 0.15%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36291FPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162980 | PA      | $160109.50    | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-69, Class WM                                                    | CUSIP: 38373AN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623368 | PA      | $653786.02    | 0.03%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-15, Class NB                                                    | CUSIP: 383742RV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150748 | PA      | $150561.76    | 0.01%             | 2038-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2004-27, Class PD                                                    | CUSIP: 38374GFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394406 | PA      | $393537.81    | 0.02%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-42, Class TX                                                    | CUSIP: 38374UC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2488475 | PA      | $2529114.10   | 0.13%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-40, Class SA                                                    | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685160 | PA      | $35312.99     | 0.00%             | 2038-05-16      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2011-29, Class Z                                                     | CUSIP: 38377QQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10127891 | PA      | $10267896.85  | 0.52%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2012-126, Class BE                                                   | CUSIP: 38378H3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3313187.60   | 0.17%             | 2042-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2019-123, Class MA                                                   | CUSIP: 38382AKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9157156 | PA      | $8386394.71   | 0.43%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-61, Class HC                                                    | CUSIP: 38382EU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10758951 | PA      | $8859357.99   | 0.45%             | 2048-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-133, Class KB                                                   | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7232712 | PA      | $5941252.86   | 0.30%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-94, Class AO                                                    | CUSIP: 38383RX44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7067806 | PA      | $5023293.81   | 0.26%             | 2052-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-120, Class LN                                                   | CUSIP: 38383TA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6142164.70   | 0.31%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2023-1, Class E                                                      | CUSIP: 38383VDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4416875 | PA      | $4327593.39   | 0.22%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-151, Class CM                                                   | CUSIP: 38384WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7892444.80   | 0.40%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-164, Class AO                                                   | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4785724 | PA      | $3857114.43   | 0.20%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-159, Class PA                                                   | CUSIP: 38384YHQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15466895 | PA      | $15316060.04  | 0.78%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-197, Class BN                                                   | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10621925 | PA      | $9969897.35   | 0.51%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-100, Class JS                                                   | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6734460 | PA      | $6664681.89   | 0.34%             | 2055-06-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-79, Class NM                                                    | CUSIP: 38385GWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8010893 | PA      | $7195175.81   | 0.37%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund | JPMorgan U.S. Government Money Market Fund, Class Institutional                   | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  45396925 | NS      | $45396925.37  | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116EHK9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15000000 | PA      | $13752019.50  | 0.70%             | 2028-04-15      | 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        |  15700000 | PA      | $13454765.77  | 0.69%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4241160.80   | 0.22%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810FF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20976562.40  | 1.07%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75300000 | PA      | $67378793.16  | 3.43%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $24405234.22  | 1.24%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $25584179.60  | 1.30%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $21164062.50  | 1.08%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $1984375.00   | 0.10%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19491000 | PA      | $9913762.10   | 0.50%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14500000 | PA      | $10331816.37  | 0.53%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $19225898.37  | 0.98%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $13764843.75  | 0.70%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9155468.80   | 0.47%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45380000 | PA      | $46798125.00  | 2.38%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $39153124.80  | 1.99%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24741211.00  | 1.26%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34449023.35  | 1.75%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19241406.20  | 0.98%             | 2027-03-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11120000 | PA      | $10547059.35  | 0.54%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $17957812.40  | 0.91%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29903906.40  | 1.52%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5000781.25   | 0.25%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9993046.90   | 0.51%             | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17330000 | PA      | $17447789.93  | 0.89%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25317382.75  | 1.29%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $35158046.70  | 1.79%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25943359.50  | 1.32%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25729492.25  | 1.31%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5135000 | PA      | $5113737.92   | 0.26%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24075000 | PA      | $24571546.88  | 1.25%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30435000 | PA      | $30798793.21  | 1.57%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11900000 | PA      | $12130562.50  | 0.62%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17460000 | PA      | $17477732.73  | 0.89%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury 5 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       771 | NC      | $95663.49     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 30 Year Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4500 | NC      | $50908.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 30 Year Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      4500 | NC      | $210937.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 30 Year Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -9000 | NC      | $-210942.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 2 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       389 | NC      | $-6657.38     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 10 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       545 | NC      | $135398.35    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury 10 Year Ultra Note                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -204 | NC      | $-94635.07    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                        | U.S. Treasury Ultra Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -45 | NC      | $-40548.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer