# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-23-016724
**Filing Date:** 2023-1
**Character Count:** 946987
**Document Hash:** 4888b73125da34ebd143a8700060f563
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016724.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016724

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 23563105

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

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

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

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

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

## Series and Classes Contracts Data

### JPMorgan Short Duration Bond Fund (Series ID: S000003490)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009653 | Class I      | HLLVX           |
| C000009654 | Class A      | OGLVX           |
| C000009656 | Class C      | OSTCX           |
| C000009657 | Class R6     | JSDUX           |

## Nport-Ex

**JPMorgan Short Duration Bond Fund**

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

**(Unaudited)** 

---

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

---

------

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

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE** <br>**($000)**<br>|
| **Corporate Bonds — 33.0%** | **Corporate Bonds — 33.0%** | **Corporate Bonds — 33.0%** |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.43%, 2/4/2024 | 20280 | 19359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 5/1/2025 | 21754 | 21552 |
| &nbsp;&nbsp;&nbsp; Leidos, Inc. 2.95%, 5/15/2023 | 4150 | 4107 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 45018 |
| **Automobiles — 0.9%** | **Automobiles — 0.9%** | **Automobiles — 0.9%** |
| &nbsp;&nbsp;&nbsp; General Motors Co. 6.13%, 10/1/2025 | 18140 | 18377 |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/10/2023 (a) | 7302 | 7258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 4/6/2023 (a) | 7500 | 7509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (a) | 8440 | 7538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5156 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Finance North America LLC (Germany) 2.70%, 6/14/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5927 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/12/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/13/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7436 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 65951 |
| **Banks — 15.8%** | **Banks — 15.8%** | **Banks — 15.8%** |
| &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8821 |
| &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (b) | &nbsp;&nbsp; 14465 | &nbsp;&nbsp;&nbsp;&nbsp; 13926 |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking Group Ltd. (Australia) 4.50%, 3/19/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986 |
| &nbsp;&nbsp;&nbsp; Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023 | &nbsp;&nbsp; 21200 | &nbsp;&nbsp;&nbsp;&nbsp; 20466 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.71%, 6/27/2024 | &nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (b) | &nbsp;&nbsp; 21200 | &nbsp;&nbsp;&nbsp;&nbsp; 20513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4284 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (b) | &nbsp;&nbsp; 25285 | &nbsp;&nbsp;&nbsp;&nbsp; 25255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.41%), 0.52%, 6/14/2024 (b) | &nbsp;&nbsp; 16264 | &nbsp;&nbsp;&nbsp;&nbsp; 15784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (b) | &nbsp;&nbsp; 13480 | &nbsp;&nbsp;&nbsp;&nbsp; 13341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.69%), 4.52%, 4/22/2025 (b) | &nbsp;&nbsp; 23670 | &nbsp;&nbsp;&nbsp;&nbsp; 23272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.91%), 0.98%, 9/25/2025 (b) | &nbsp;&nbsp; 15110 | &nbsp;&nbsp;&nbsp;&nbsp; 13841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.15%), 1.32%, 6/19/2026 (b) | &nbsp;&nbsp; 14105 | &nbsp;&nbsp;&nbsp;&nbsp; 12727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, <br> 9/16/2026 (a) (b)<br>| &nbsp;&nbsp; 11690 | &nbsp;&nbsp;&nbsp;&nbsp; 11454 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (b) | &nbsp;&nbsp; 14600 | &nbsp;&nbsp;&nbsp;&nbsp; 13806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (b) | &nbsp;&nbsp; 12500 | &nbsp;&nbsp;&nbsp;&nbsp; 12057 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 1/9/2025 (a) | &nbsp;&nbsp; 22689 | &nbsp;&nbsp;&nbsp;&nbsp; 21805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (a) (b) | &nbsp;&nbsp; 17100 | &nbsp;&nbsp;&nbsp;&nbsp; 15704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8399 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.69%), 0.78%, 10/30/2024 (b) | 12175 | 11597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (b) | 45000 | 43516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.84%), 3.11%, 4/8/2026 (b) | 8525 | 8086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.55%), 5.61%, 9/29/2026 (b) | 23415 | 23497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.77%), 1.12%, 1/28/2027 (b) | 13725 | 11972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, <br> 9/24/2026 (a) (b)<br>| 10550 | 9294 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/24/2023 (a) | 8885 | 8828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/17/2025 (a) | 29887 | 28666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (b) | 12090 | 10956 |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (b) | &nbsp;&nbsp; 18115 | &nbsp;&nbsp;&nbsp;&nbsp; 18103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (b) | &nbsp;&nbsp; 18460 | &nbsp;&nbsp;&nbsp;&nbsp; 16726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.13%, 9/16/2026 (a) <br> (b)<br>| &nbsp;&nbsp; 14945 | &nbsp;&nbsp;&nbsp;&nbsp; 13144 |
| &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) 2.05%, 2/10/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4126 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.53%), 0.73%, 8/17/2024 (b) | &nbsp;&nbsp; 25530 | &nbsp;&nbsp;&nbsp;&nbsp; 24440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.58%), 1.16%, 11/22/2024 (b) | &nbsp;&nbsp; 14555 | &nbsp;&nbsp;&nbsp;&nbsp; 13781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.71%), 0.98%, 5/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.43%), 3.00%, 3/10/2026 (b) | &nbsp;&nbsp; 10650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.54%), 1.64%, 4/18/2026 (b) | &nbsp;&nbsp; 15272 | &nbsp;&nbsp;&nbsp;&nbsp; 13723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.10%, 6/4/2026 (b) | &nbsp;&nbsp; 11950 | &nbsp;&nbsp;&nbsp;&nbsp; 10833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.03%), 7.34%, 11/3/2026 (b) | &nbsp;&nbsp; 11045 | &nbsp;&nbsp;&nbsp;&nbsp; 11535 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 8/16/2023 | &nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, 5/11/2024 (b) | &nbsp;&nbsp; 14735 | &nbsp;&nbsp;&nbsp;&nbsp; 14380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.50%), 3.87%, 7/9/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.72%, 8/11/2026 (b) | &nbsp;&nbsp; 21380 | &nbsp;&nbsp;&nbsp;&nbsp; 20743 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.19%, 2/25/2025 | &nbsp;&nbsp; 13695 | &nbsp;&nbsp;&nbsp;&nbsp; 12862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.41%, 7/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.95%, 7/19/2025 (b) | &nbsp;&nbsp; 27160 | &nbsp;&nbsp;&nbsp;&nbsp; 25189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7957 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a) | &nbsp;&nbsp; 41100 | &nbsp;&nbsp;&nbsp;&nbsp; 40382 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.25%), 1.24%, 7/10/2024 (b) | &nbsp;&nbsp; 21195 | &nbsp;&nbsp;&nbsp;&nbsp; 20593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.87%), 0.85%, 9/8/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (b) | &nbsp;&nbsp; 18070 | &nbsp;&nbsp;&nbsp;&nbsp; 15631 |
| &nbsp;&nbsp;&nbsp; National Bank of Canada (Canada) 2.10%, 2/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2550 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 9/12/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 7780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8961 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 5/21/2023 (a) | 6015 | 5914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 8/12/2024 (a) | 12455 | 11493 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 4.75%, 9/22/2025 (a) | 19165 | 19074 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.79%), 1.09%, 3/15/2025 (b) | 15360 | 14252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (b) | 5660 | 4971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.75%), 6.83%, 11/21/2026 (b) | 10560 | 10668 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/14/2023 (a) | 2850 | 2819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/17/2024 (a) | 14000 | 13802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 3/28/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/16/2024 (a) | &nbsp;&nbsp; 17970 | &nbsp;&nbsp;&nbsp;&nbsp; 16927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 1/22/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/14/2025 (a) | &nbsp;&nbsp; 13088 | &nbsp;&nbsp;&nbsp;&nbsp; 12504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (b) | &nbsp;&nbsp; 13440 | &nbsp;&nbsp;&nbsp;&nbsp; 12307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1752 |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (b) | &nbsp;&nbsp; 12805 | &nbsp;&nbsp;&nbsp;&nbsp; 12712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (b) | &nbsp;&nbsp; 24444 | &nbsp;&nbsp;&nbsp;&nbsp; 22836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.56%), 3.79%, 5/21/2025 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7665 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 4/2/2024 (a) | &nbsp;&nbsp; 30250 | &nbsp;&nbsp;&nbsp;&nbsp; 29703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.47%, 7/8/2025 | &nbsp;&nbsp; 20905 | &nbsp;&nbsp;&nbsp;&nbsp; 19058 |
| &nbsp;&nbsp;&nbsp; UniCredit SpA (Italy) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.83%, 12/4/2023 (a) | &nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1865 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.60%), 1.65%, 6/2/2024 (b) | &nbsp;&nbsp; 51246 | &nbsp;&nbsp;&nbsp;&nbsp; 50319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.09%), 2.41%, 10/30/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.00%), 2.19%, 4/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 4.54%, 8/15/2026 (b) | &nbsp;&nbsp; 19975 | &nbsp;&nbsp;&nbsp;&nbsp; 19570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.98%), 4.81%, 7/25/2028 (b) | &nbsp;&nbsp; 14025 | &nbsp;&nbsp;&nbsp;&nbsp; 13698 |
|  |  | 1142778 |
| **Biotechnology — 0.1%** | **Biotechnology — 0.1%** | **Biotechnology — 0.1%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc. 2.60%, 11/21/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5268 |
| **Capital Markets — 5.0%** | **Capital Markets — 5.0%** | **Capital Markets — 5.0%** |
| &nbsp;&nbsp;&nbsp; Credit Suisse Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 6/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 5550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (a) (b) | &nbsp;&nbsp; 10585 | &nbsp;&nbsp;&nbsp;&nbsp; 10271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 2.59%, 9/11/2025 (a) (b) | &nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 26577 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.16%), 2.22%, 9/18/2024 (b) | &nbsp;&nbsp; 18255 | &nbsp;&nbsp;&nbsp;&nbsp; 17514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 1.45%, 4/1/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.87%), 2.13%, 11/24/2026 (b) | &nbsp;&nbsp; 13700 | &nbsp;&nbsp;&nbsp;&nbsp; 11991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.31%, 11/16/2027 (b) | &nbsp;&nbsp; 11165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9326 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.57%), 0.67%, 3/8/2024 (b) | 51280 | 50521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.49%), 0.92%, 10/21/2024 (b) | 31140 | 29700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.73%), 1.76%, 1/24/2025 (b) | 39500 | 37652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (b) | 13850 | 12201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 4.39%, 6/15/2027 (b) | 8685 | 8381 |
| &nbsp;&nbsp;&nbsp; Macquarie Group Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.21%, 11/22/2024 (a) | 17590 | 17692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.07%), 1.34%, 1/12/2027 (a) (b) | 15754 | 13622 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.51%), 0.79%, 1/22/2025 (b) | 46955 | 44162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.67%), 4.68%, 7/17/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.72%), 0.98%, 12/10/2026 (b) | &nbsp;&nbsp; 18126 | &nbsp;&nbsp;&nbsp;&nbsp; 15897 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 7/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 8625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 7/14/2026 | &nbsp;&nbsp; 20765 | &nbsp;&nbsp;&nbsp;&nbsp; 18111 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 9/24/2025 (a) | &nbsp;&nbsp; 10350 | &nbsp;&nbsp;&nbsp;&nbsp; 10040 |
|  |  | &nbsp;&nbsp;&nbsp; 362539 |
| **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** |
| &nbsp;&nbsp;&nbsp; International Flavors & Fragrances, Inc. 1.23%, 10/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5321 |
| **Construction & Engineering — 0.2%** | **Construction & Engineering — 0.2%** | **Construction & Engineering — 0.2%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc. 0.95%, 10/1/2024 | &nbsp;&nbsp; 16200 | &nbsp;&nbsp;&nbsp;&nbsp; 14836 |
| **Consumer Finance — 1.6%** | **Consumer Finance — 1.6%** | **Consumer Finance — 1.6%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 1/23/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 10/29/2024 | &nbsp;&nbsp; 22295 | &nbsp;&nbsp;&nbsp;&nbsp; 20515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | &nbsp;&nbsp; 12660 | &nbsp;&nbsp;&nbsp;&nbsp; 12790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7288 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 7/1/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (a) | &nbsp;&nbsp; 16775 | &nbsp;&nbsp;&nbsp;&nbsp; 15889 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp. (SOFR + 0.69%), 1.34%, 12/6/2024 (b) | &nbsp;&nbsp; 35640 | &nbsp;&nbsp;&nbsp;&nbsp; 34005 |
|  |  | &nbsp;&nbsp;&nbsp; 112642 |
| **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (a) | &nbsp;&nbsp; 21754 | &nbsp;&nbsp;&nbsp;&nbsp; 20565 |
| &nbsp;&nbsp;&nbsp; Mitsubishi HC Capital, Inc. (Japan) 3.96%, 9/19/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 21551 |
| **Electric Utilities — 0.5%** | **Electric Utilities — 0.5%** | **Electric Utilities — 0.5%** |
| &nbsp;&nbsp;&nbsp; Alliant Energy Finance LLC 1.40%, 3/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3991 |
| &nbsp;&nbsp;&nbsp; American Electric Power Co., Inc. 2.03%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 9670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9292 |
| &nbsp;&nbsp;&nbsp; Edison International 2.95%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 7680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7637 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 0.90%, 9/15/2025 | 2915 | 2598 |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC 3.55%, 7/15/2024 (a) | 12000 | 11505 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 35023 |
| **Entertainment — 0.2%** | **Entertainment — 0.2%** | **Entertainment — 0.2%** |
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (a) | 15000 | 13669 |
| **Equity Real Estate Investment Trusts (REITs) — 0.0% ^** | **Equity Real Estate Investment Trusts (REITs) — 0.0% ^** | **Equity Real Estate Investment Trusts (REITs) — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; American Tower Corp. 3.00%, 6/15/2023 | 3140 | 3101 |
| **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** |
| &nbsp;&nbsp;&nbsp; 7-Eleven, Inc. 0.63%, 2/10/2023 (a) | 6640 | 6581 |
| **Food Products — 0.0% ^** | **Food Products — 0.0% ^** | **Food Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; McCormick & Co., Inc. 3.50%, 9/1/2023 | 1000 | 988 |
| **Gas Utilities — 0.7%** | **Gas Utilities — 0.7%** | **Gas Utilities — 0.7%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp. 0.63%, 3/9/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 6975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6900 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Resources Corp. 0.70%, 3/2/2023 | &nbsp;&nbsp; 22550 | &nbsp;&nbsp;&nbsp;&nbsp; 22293 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. (ICE LIBOR USD 3 Month + 0.35%), 3.62%, 9/14/2023 (b) | &nbsp;&nbsp; 12565 | &nbsp;&nbsp;&nbsp;&nbsp; 12534 |
| &nbsp;&nbsp;&nbsp; Southern Natural Gas Co. LLC 0.63%, 4/28/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6071 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 47798 |
| **Health Care Providers & Services — 0.6%** | **Health Care Providers & Services — 0.6%** | **Health Care Providers & Services — 0.6%** |
| &nbsp;&nbsp;&nbsp; AmerisourceBergen Corp. 0.74%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4131 |
| &nbsp;&nbsp;&nbsp; Cigna Corp. 3.75%, 7/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715 |
| &nbsp;&nbsp;&nbsp; Humana, Inc. 0.65%, 8/3/2023 | &nbsp;&nbsp; 36025 | &nbsp;&nbsp;&nbsp;&nbsp; 34959 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 39805 |
| **Independent Power and Renewable Electricity Producers — 0.5%** | **Independent Power and Renewable Electricity Producers — 0.5%** | **Independent Power and Renewable Electricity Producers — 0.5%** |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust 1.84%, 11/15/2023 (a) | &nbsp;&nbsp; 32710 | &nbsp;&nbsp;&nbsp;&nbsp; 30842 |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC 3.25%, 6/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4488 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 35330 |
| **Insurance — 1.4%** | **Insurance — 1.4%** | **Insurance — 1.4%** |
| &nbsp;&nbsp;&nbsp; Athene Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/13/2023 (a) | &nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.95%, 1/8/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 6/25/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.91%, 8/19/2024 (a) | &nbsp;&nbsp; 29420 | &nbsp;&nbsp;&nbsp;&nbsp; 26955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/14/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2969 |
| &nbsp;&nbsp;&nbsp; Equitable Financial Life Global Funding 1.00%, 1/9/2026 (a) | &nbsp;&nbsp; 13395 | &nbsp;&nbsp;&nbsp;&nbsp; 11802 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding 1.75%, 6/30/2026 (a) | &nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9999 |
| &nbsp;&nbsp;&nbsp; Jackson National Life Global Funding 3.25%, 1/30/2024 (a) | &nbsp;&nbsp; 14750 | &nbsp;&nbsp;&nbsp;&nbsp; 14353 |
| &nbsp;&nbsp;&nbsp; Metropolitan Life Global Funding I 3.00%, 1/10/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5589 |
| &nbsp;&nbsp;&nbsp; Pricoa Global Funding I 3.45%, 9/1/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 461 |
| &nbsp;&nbsp;&nbsp; Protective Life Global Funding 1.08%, 6/9/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2679 |
| &nbsp;&nbsp;&nbsp; Reliance Standard Life Global Funding II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 1/21/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 9/19/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1368 |
|  |  | &nbsp;&nbsp;&nbsp; 103453 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **IT Services — 0.2%** | **IT Services — 0.2%** | **IT Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc. 4.95%, 8/15/2027 | 12305 | 11965 |
| **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nordstrom, Inc. 2.30%, 4/8/2024 | 2350 | 2210 |
| **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 3.82%, 9/15/2023 (b) | 21235 | 21192 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc. 0.95%, 8/15/2025 | 7710 | 6952 |
| &nbsp;&nbsp;&nbsp; WEC Energy Group, Inc. 5.00%, 9/27/2025 | 5625 | 5649 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 33793 |
| **Oil, Gas & Consumable Fuels — 0.3%** | **Oil, Gas & Consumable Fuels — 0.3%** | **Oil, Gas & Consumable Fuels — 0.3%** |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 9/15/2023 (a) | 9850 | 9573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/15/2025 (a) | &nbsp;&nbsp; 12825 | &nbsp;&nbsp;&nbsp;&nbsp; 11635 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 21208 |
| **Pharmaceuticals — 0.2%** | **Pharmaceuticals — 0.2%** | **Pharmaceuticals — 0.2%** |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co. 2.75%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1495 |
| &nbsp;&nbsp;&nbsp; Royalty Pharma plc 0.75%, 9/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 7384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7127 |
| &nbsp;&nbsp;&nbsp; Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 3437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3372 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11994 |
| **Road & Rail — 0.6%** | **Road & Rail — 0.6%** | **Road & Rail — 0.6%** |
| &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8443 |
| &nbsp;&nbsp;&nbsp; Triton Container International Ltd. (Bermuda) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.80%, 8/1/2023 (a) | &nbsp;&nbsp; 25515 | &nbsp;&nbsp;&nbsp;&nbsp; 24590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 6/7/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5661 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41583 |
| **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** |
| &nbsp;&nbsp;&nbsp; Microchip Technology, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.97%, 2/15/2024 | &nbsp;&nbsp; 21060 | &nbsp;&nbsp;&nbsp;&nbsp; 19927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 7850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7636 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 27563 |
| **Software — 0.1%** | **Software — 0.1%** | **Software — 0.1%** |
| &nbsp;&nbsp;&nbsp; VMware, Inc. 1.00%, 8/15/2024 | &nbsp;&nbsp; 11550 | &nbsp;&nbsp;&nbsp;&nbsp; 10755 |
| **Thrifts & Mortgage Finance — 1.2%** | **Thrifts & Mortgage Finance — 1.2%** | **Thrifts & Mortgage Finance — 1.2%** |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/12/2023 (a) | &nbsp;&nbsp; 18985 | &nbsp;&nbsp;&nbsp;&nbsp; 18655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 10/22/2023 (a) | &nbsp;&nbsp; 13600 | &nbsp;&nbsp;&nbsp;&nbsp; 13459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 7/11/2024 (a) | &nbsp;&nbsp; 10774 | &nbsp;&nbsp;&nbsp;&nbsp; 10464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 7/21/2024 (a) | &nbsp;&nbsp; 15685 | &nbsp;&nbsp;&nbsp;&nbsp; 15380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 1/14/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 1.65%, 10/6/2026 (a) (b) | &nbsp;&nbsp; 12178 | &nbsp;&nbsp;&nbsp;&nbsp; 10720 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.55%, 1/22/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4818 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Thrifts & Mortgage Finance — continued** | **Thrifts & Mortgage Finance — continued** | **Thrifts & Mortgage Finance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.06%), 3.77%, 3/8/2024 (a) (b) | 6285 | 6235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/14/2026 (a) | 5000 | 4567 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 88520 |
| **Tobacco — 0.1%** | **Tobacco — 0.1%** | **Tobacco — 0.1%** |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) 3.22%, 9/6/2026 | 11060 | 10266 |
| **Trading Companies & Distributors — 0.8%** | **Trading Companies & Distributors — 0.8%** | **Trading Companies & Distributors — 0.8%** |
| &nbsp;&nbsp;&nbsp; Air Lease Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 1/15/2023 | 3095 | 3081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 1/15/2023 | 6305 | 6281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/15/2024 | 2500 | 2456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 1/15/2026 | 14240 | 13117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 8/15/2026 | &nbsp;&nbsp; 19605 | &nbsp;&nbsp;&nbsp;&nbsp; 17142 |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 1/30/2026 (a) | &nbsp;&nbsp; 13100 | &nbsp;&nbsp;&nbsp;&nbsp; 11427 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 60218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $2,527,572)<br>|  | 2381727 |
| **Asset-Backed Securities — 26.8%** | **Asset-Backed Securities — 26.8%** | **Asset-Backed Securities — 26.8%** |
| &nbsp;&nbsp;&nbsp; ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4864 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4787 |
| &nbsp;&nbsp;&nbsp; ACC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 1.19%, 9/20/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 2.55%, 2/20/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5335 |
| &nbsp;&nbsp;&nbsp; Accelerated LLC Series 2021-1H, Class A, 1.35%, 10/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1423 |
| &nbsp;&nbsp;&nbsp; ACM Auto Trust Series 2022-1A, Class B, 4.47%, 4/20/2029 (a) | &nbsp;&nbsp; 15312 | &nbsp;&nbsp;&nbsp;&nbsp; 15179 |
| &nbsp;&nbsp;&nbsp; ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 4.77%, 12/18/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2802 |
| &nbsp;&nbsp;&nbsp; Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2642 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class D, 3.41%, 6/12/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class D, 2.89%, 9/12/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class E, 3.80%, 9/12/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class D, 5.65%, 5/13/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class C, 1.85%, 6/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class C, 1.31%, 12/14/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4927 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class D, 1.77%, 12/14/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class C, 0.83%, 3/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class D, 1.14%, 3/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 0.97%, 7/13/2027 (a) | &nbsp;&nbsp; 10749 | &nbsp;&nbsp;&nbsp;&nbsp; 10505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class C, 1.32%, 2/14/2028 (a) | &nbsp;&nbsp; 29750 | &nbsp;&nbsp;&nbsp;&nbsp; 28093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9862 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class B, 1.81%, 9/17/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3648 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (a) | 12400 | 11000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (a) | 8000 | 7096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | 3867 | 3320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class B, 1.78%, 8/17/2038 ‡ (a) | 19289 | 16391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a) | 1422 | 1220 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables IX LLC Series 2021-1A, Class A2, 0.75%, 11/20/2026 (a) | 7952 | 7631 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables VIII LLC Series 2020-1A, Class A2, 1.68%, 8/20/2025 (a) | 157 | 157 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class A, 3.14%, 7/16/2040 (a) | 2093 | 1969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.54%, 7/17/2046 (a) | 2458 | 2245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 1.90%, 7/17/2046 (a) | 1524 | 1436 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4, Class A, 5.23%, 11/15/2036 (a) (c) | 3425 | 3311 |
| &nbsp;&nbsp;&nbsp; AREIT Trust Series 2021-CRE5, Class C, 6.16%, 11/17/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7834 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2021-2A, Class A, 1.66%, 2/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3864 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 3.60%, 6/25/2043 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; BHG Securitization Trust Series 2021-B, Class A, 0.90%, 10/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7529 |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2022-SFR1, 4.15%, 11/17/2037 (a) | &nbsp;&nbsp;&nbsp; 10575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9669 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%, 6/20/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp; BRSP Ltd. Series 2021-FL1, Class A, 5.09%, 8/19/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5789 |
| &nbsp;&nbsp;&nbsp; BSPRT Issuer Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL8, Class A, 4.72%, 2/15/2037 (a) (c) | &nbsp;&nbsp;&nbsp; 16150 | &nbsp;&nbsp;&nbsp;&nbsp; 15366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL7, Class B, 5.93%, 12/15/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6511 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.98%, 11/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | &nbsp;&nbsp;&nbsp; 19424 | &nbsp;&nbsp;&nbsp;&nbsp; 16907 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Series 2021-FL4, Class A, 4.93%, 5/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5885 |
| &nbsp;&nbsp;&nbsp; Canadian Pacer Auto Receivables Trust (Canada) Series 2020-1A, Class A4, 1.89%, 3/19/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5880 |
| &nbsp;&nbsp;&nbsp; CarNow Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 3.84%, 9/16/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 1.30%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp; 12015 | &nbsp;&nbsp;&nbsp;&nbsp; 11767 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-N1A, Class C, 2.45%, 6/16/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-N1A, Class D, 3.43%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 10308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class B, 1.24%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class C, 1.72%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 6494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6200 |
| &nbsp;&nbsp;&nbsp; CIFC Funding Ltd. (Cayman Islands) Series 2017-1A, Class AR, 5.29%, 4/23/2029 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3468 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3426 |
| &nbsp;&nbsp;&nbsp; Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4189 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.57%, 4/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class A, 1.36%, 8/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2812 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2482 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class D, 4.35%, 12/16/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class D, 3.69%, 3/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 0.84%, 7/15/2025 (a) | &nbsp;&nbsp;&nbsp; 13001 | &nbsp;&nbsp;&nbsp;&nbsp; 12825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-D, Class D, 2.72%, 9/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class D, 2.90%, 12/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 858 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B, Class D, 4.75%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6331 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 1.71%, 8/17/2026 (a) | 1577 | 1564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 0.83%, 9/15/2026 (a) | 6862 | 6760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class D, 2.41%, 11/16/2026 (a) | 17250 | 16683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 1.21%, 6/15/2027 (a) | 7138 | 6837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-D, Class C, 1.59%, 12/15/2027 (a) | 13514 | 12675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 2.17%, 4/16/2029 (a) | 9722 | 9034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | 8120 | 7871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 5040 | 4839 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class B, 2.86%, 1/16/2029 (a) | 2086 | 2079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 1.37%, 7/16/2029 (a) | 8547 | 8447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 1.93%, 9/17/2029 (a) | 9300 | 9009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A, 1.24%, 10/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class B, 1.77%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 0.96%, 2/15/2030 (a) | &nbsp;&nbsp; 24545 | &nbsp;&nbsp;&nbsp;&nbsp; 23452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 2.28%, 2/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 1.64%, 6/17/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 1.26%, 10/15/2030 (a) | &nbsp;&nbsp; 11538 | &nbsp;&nbsp;&nbsp;&nbsp; 10748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B, 1.74%, 12/16/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2369 |
| &nbsp;&nbsp;&nbsp; Credito Real USA Auto Receivables Trust Series 2021-1A, Class A, 1.35%, 2/16/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2399 |
| &nbsp;&nbsp;&nbsp; Crossroads Asset Trust Series 2021-A, Class A2, 0.82%, 3/20/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1632 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.94%, 10/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp; DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | &nbsp;&nbsp; 11667 | &nbsp;&nbsp;&nbsp;&nbsp; 10062 |
| &nbsp;&nbsp;&nbsp; Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6922 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6599 |
| &nbsp;&nbsp;&nbsp; Diamond Resorts Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 2.89%, 2/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 11/21/2033 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class C, 2.36%, 3/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class D, 2.70%, 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class D, 2.70%, 5/17/2027 | &nbsp;&nbsp; 13200 | &nbsp;&nbsp;&nbsp;&nbsp; 12864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 0.87%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2749 |
| &nbsp;&nbsp;&nbsp; Dryden Senior Loan Fund (Cayman Islands) Series 2017-49A, Class AR, 5.14%, 7/18/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D, 3.87%, 11/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2438 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D, 3.48%, 2/18/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class D, 2.96%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 0.62%, 9/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class B, 0.58%, 11/17/2025 (a) | &nbsp;&nbsp; 14619 | &nbsp;&nbsp;&nbsp;&nbsp; 14052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class D, 2.55%, 11/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 3.28%, 3/16/2026 (a) | &nbsp;&nbsp; 10039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 1.47%, 6/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 0.84%, 10/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 0.81%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 1.10%, 2/16/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 0.87%, 5/17/2027 (a) | &nbsp;&nbsp; 12495 | &nbsp;&nbsp;&nbsp;&nbsp; 11616 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 9655 | 8421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class C, 1.50%, 9/15/2027 (a) | 6549 | 6034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 7478 | 7496 |
| &nbsp;&nbsp;&nbsp; Elara HGV Timeshare Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.36%, 8/27/2035 (a) | 880 | 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 1.74%, 8/27/2035 ‡ (a) | 1205 | 1070 |
| &nbsp;&nbsp;&nbsp; Encina Equipment Finance LLC Series 2021-1A, Class A2, 0.74%, 12/15/2026 (a) | 5621 | 5496 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class E, 5.43%, 8/15/2024 (a) | 9300 | 9278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4A, Class D, 4.35%, 9/16/2024 (a) | 1807 | 1798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D, 3.71%, 3/17/2025 (a) | 10242 | 10138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 3.28%, 5/15/2025 (a) | 3925 | 3901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 1.32%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class D, 2.58%, 9/15/2025 (a) | &nbsp;&nbsp;&nbsp; 11110 | &nbsp;&nbsp;&nbsp;&nbsp; 10903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 0.74%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6668 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class E, 5.20%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class D, 4.73%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 0.98%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3913 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class E, 4.00%, 8/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 0.96%, 10/15/2026 | &nbsp;&nbsp;&nbsp; 30673 | &nbsp;&nbsp;&nbsp;&nbsp; 28765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class C, 1.46%, 10/15/2027 | &nbsp;&nbsp;&nbsp; 10117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6A, Class D, 8.03%, 4/6/2029 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6962 |
| &nbsp;&nbsp;&nbsp; FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4054 |
| &nbsp;&nbsp;&nbsp; FHF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | &nbsp;&nbsp;&nbsp; 12596 | &nbsp;&nbsp;&nbsp;&nbsp; 11929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5319 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Pass-Through Securities Certificates Series T-20, Class A6, 7.99%, 9/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; First Investors Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class D, 4.28%, 1/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 613 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 2.55%, 2/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 0.89%, 3/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2406 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class C, 1.94%, 8/17/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class C, 1.89%, 8/17/2038 ‡ (a) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (a) | &nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 10768 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class D, 4.08%, 2/18/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class C, 3.09%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class C, 2.74%, 10/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class C, 2.77%, 12/15/2025 (a) | &nbsp;&nbsp;&nbsp; 13300 | &nbsp;&nbsp;&nbsp;&nbsp; 13102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class C, 2.24%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class D, 5.75%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class C, 1.73%, 9/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class D, 2.50%, 9/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 0.68%, 2/16/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7117 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class C, 1.28%, 2/16/2027 (a) | 1090 | 1037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class C, 0.91%, 3/15/2027 (a) | 10600 | 9892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | 16250 | 14674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 6666 | 6345 |
| &nbsp;&nbsp;&nbsp; Ford Credit Auto Owner Trust Series 2019-C, Class A3, 1.87%, 3/15/2024 | 37 | 37 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 3.54%, 7/16/2040 (a) | 3304 | 3161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 13324 | 11918 |
| &nbsp;&nbsp;&nbsp; FREED ABS Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class C, 4.86%, 11/18/2026 ‡ (a) | 1287 | 1286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | 2739 | 2724 |
| &nbsp;&nbsp;&nbsp; FRTKL Series 2021-SFR1, Class B, 1.72%, 9/17/2038 ‡ (a) | 4960 | 4245 |
| &nbsp;&nbsp;&nbsp; Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A1RR, 5.27%, 7/24/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5889 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 3.87%, 12/16/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class C, 3.54%, 2/18/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 1.92%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class C, 2.96%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp; 10904 | &nbsp;&nbsp;&nbsp;&nbsp; 10777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 3.16%, 6/16/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class C, 1.14%, 11/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 4.57%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 1.11%, 9/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class D, 1.64%, 10/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8765 |
| &nbsp;&nbsp;&nbsp; GM Financial Automobile Leasing Trust Series 2021-1, Class B, 0.54%, 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1995 |
| &nbsp;&nbsp;&nbsp; Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | &nbsp;&nbsp;&nbsp; 17640 | &nbsp;&nbsp;&nbsp;&nbsp; 16224 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust Series 2021-2, Class A, 1.90%, 12/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1232 |
| &nbsp;&nbsp;&nbsp; KREF Ltd. Series 2021-FL2, Class A, 4.98%, 2/15/2039 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6938 |
| &nbsp;&nbsp;&nbsp; LCM LP (Cayman Islands) Series 14A, Class AR, 5.28%, 7/20/2031 (a) (c) | &nbsp;&nbsp;&nbsp; 15255 | &nbsp;&nbsp;&nbsp;&nbsp; 14943 |
| &nbsp;&nbsp;&nbsp; Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | &nbsp;&nbsp;&nbsp; 18621 | &nbsp;&nbsp;&nbsp;&nbsp; 17688 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.00%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.11%, 2/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5108 |
| &nbsp;&nbsp;&nbsp; LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (a) | &nbsp;&nbsp;&nbsp; 28967 | &nbsp;&nbsp;&nbsp;&nbsp; 28517 |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust Series 2021-2A, Class A, 2.00%, 4/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4051 |
| &nbsp;&nbsp;&nbsp; LL ABS Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.07%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 6.63%, 5/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3185 |
| &nbsp;&nbsp;&nbsp; LMREC LLC Series 2021-CRE4, Class A, 5.09%, 4/22/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7856 |
| &nbsp;&nbsp;&nbsp; Magnetite Ltd. (Cayman Islands) Series 2015-15A, Class AR, 5.37%, 7/25/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 981 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-AA, Class A, 2.96%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | &nbsp;&nbsp;&nbsp; 15923 | &nbsp;&nbsp;&nbsp;&nbsp; 13594 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (a) | &nbsp;&nbsp;&nbsp; 20882 | &nbsp;&nbsp;&nbsp;&nbsp; 19806 |
| &nbsp;&nbsp;&nbsp; Mission Lane Credit Card Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.59%, 9/15/2026 (a) | &nbsp;&nbsp;&nbsp; 26014 | &nbsp;&nbsp;&nbsp;&nbsp; 25042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 6.92%, 9/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3523 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 6.29%, 3/25/2033 ‡ (c) | 174 | 166 |
| &nbsp;&nbsp;&nbsp; MVW LLC Series 2020-1A, Class A, 1.74%, 10/20/2037 (a) | 1658 | 1515 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.00%, 10/15/2029 (a) (c) | 13072 | 12867 |
| &nbsp;&nbsp;&nbsp; New Economy Assets Phase 1 Sponsor LLC Series 2021-1, Class A1, 1.91%, 10/20/2061 (a) | 1816 | 1535 |
| &nbsp;&nbsp;&nbsp; New Residential Advance Receivables Trust Advance Receivables Backed Series 2020-T1, Class AT1, 1.43%, 8/15/2053 (a) | 15556 | 14927 |
| &nbsp;&nbsp;&nbsp; NMEF Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2, 0.81%, 12/15/2027 (a) | 5116 | 5030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 1.85%, 12/15/2027 ‡ (a) | 5406 | 5161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.35%, 10/16/2028 (a) | 2750 | 2488 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 1345 | 1192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 14026 | 12408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6458 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 5.04%, 4/16/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2945 |
| &nbsp;&nbsp;&nbsp; Octane Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class B, 3.77%, 7/22/2024 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 1.71%, 2/20/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class B, 1.98%, 6/20/2025 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 1.21%, 9/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2972 |
| &nbsp;&nbsp;&nbsp; Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6841 |
| &nbsp;&nbsp;&nbsp; Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7457 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Debt Selection Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.18%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5876 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 1.15%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7649 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd. (Cayman Islands) Series 2022-1A, Class A1, 4.91%, 4/15/2030 (a) (c) | &nbsp;&nbsp;&nbsp; 11491 | &nbsp;&nbsp;&nbsp;&nbsp; 11303 |
| &nbsp;&nbsp;&nbsp; Pawnee Equipment Receivables LLC Series 2020-1, Class C, 2.24%, 2/17/2026 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2852 |
| &nbsp;&nbsp;&nbsp; Pawneee Equipment Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A2, 1.10%, 7/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 1.82%, 7/15/2027 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A3, 5.17%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6582 |
| &nbsp;&nbsp;&nbsp; PFP Ltd. (Cayman Islands) Series 2021-7, Class A, 4.73%, 4/14/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3758 |
| &nbsp;&nbsp;&nbsp; PRET LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (e) | &nbsp;&nbsp;&nbsp; 12417 | &nbsp;&nbsp;&nbsp;&nbsp; 11086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (a) (e) | &nbsp;&nbsp;&nbsp; 11302 | &nbsp;&nbsp;&nbsp;&nbsp; 10446 |
| &nbsp;&nbsp;&nbsp; Pretium Mortgage Credit Partners I LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (e) | &nbsp;&nbsp;&nbsp; 11735 | &nbsp;&nbsp;&nbsp;&nbsp; 10810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 ‡ (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7924 |
| &nbsp;&nbsp;&nbsp; Progress Residential |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class B, 1.89%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1525 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class B, 1.75%, 7/17/2038 ‡ (a) | &nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 14883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3833 |
| &nbsp;&nbsp;&nbsp; Regional Management Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class A, 2.34%, 10/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5744 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 3/17/2031 (a) | 14957 | 13423 |
| &nbsp;&nbsp;&nbsp; Republic Finance Issuance Trust Series 2020-A, Class A, 2.47%, 11/20/2030 (a) | 7592 | 7155 |
| &nbsp;&nbsp;&nbsp; Santander Consumer Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class C, 3.71%, 2/17/2026 (a) | 2984 | 2952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class C, 1.03%, 11/16/2026 (a) | 1500 | 1354 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class D, 2.22%, 9/15/2026 | 6680 | 6475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class D, 1.13%, 11/16/2026 | 6000 | 5645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class D, 1.64%, 11/16/2026 | 1725 | 1644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class D, 1.48%, 1/15/2027 | 14510 | 13773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class D, 1.35%, 7/15/2027 | 3500 | 3242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class C, 0.95%, 9/15/2027 | 19038 | 18328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class D, 1.33%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2500 |
| &nbsp;&nbsp;&nbsp; Santander Retail Auto Lease Trust Series 2021-B, Class A3, 0.51%, 8/20/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4321 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC Series 2022-2A, Class B, 6.50%, 2/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A, 3.69%, 9/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class A, 2.34%, 8/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 2.32%, 7/20/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 0.99%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.34%, 11/20/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 1.79%, 11/20/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B, 6.32%, 7/20/2039 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2603 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 5.04%, 6/20/2040 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.36%, 6/20/2040 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1362 |
| &nbsp;&nbsp;&nbsp; Skopos Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class C, 3.63%, 9/16/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class D, 5.24%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3911 |
| &nbsp;&nbsp;&nbsp; Stonepeak ABS Series 2021-1A, 2.30%, 2/28/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7934 |
| &nbsp;&nbsp;&nbsp; Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 5.04%, 12/29/2029 (a) (c) | &nbsp;&nbsp; 12768 | &nbsp;&nbsp;&nbsp;&nbsp; 12527 |
| &nbsp;&nbsp;&nbsp; Symphony CLO Ltd. (Cayman Islands) Series 2018-19A, Class A, 5.04%, 4/16/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2824 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2776 |
| &nbsp;&nbsp;&nbsp; TCI-Symphony CLO Ltd. (Cayman Islands) Series 2016-1A, Class AR2, 4.96%, 10/13/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5874 |
| &nbsp;&nbsp;&nbsp; Theorem Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.21%, 12/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | &nbsp;&nbsp; 12936 | &nbsp;&nbsp;&nbsp;&nbsp; 12703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7964 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust Series 2021-SFR1, Class A, 1.94%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1565 |
| &nbsp;&nbsp;&nbsp; Upstart Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST6, Class A, 1.85%, 8/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2705 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | &nbsp;&nbsp; 14325 | &nbsp;&nbsp;&nbsp;&nbsp; 13548 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 0.87%, 3/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 0.91%, 6/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2392 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 0.83%, 7/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5928 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 0.84%, 9/20/2031 (a) | 9048 | 8731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5, Class A, 1.31%, 11/20/2031 (a) | 14832 | 14152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5, Class B, 2.49%, 11/20/2031 ‡ (a) | 3025 | 2687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 8584 | 8409 |
| &nbsp;&nbsp;&nbsp; Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a) | 4928 | 4894 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (a) | 1318 | 1313 |
| &nbsp;&nbsp;&nbsp; USASF Receivables LLC Series 2020-1A, Class B, 3.22%, 5/15/2024 (a) | 1958 | 1949 |
| &nbsp;&nbsp;&nbsp; VCAT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (a) (e) | 1533 | 1463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (a) (e) | 2716 | 2456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (e) | 3726 | 3328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 ‡ (a) (e) | 9153 | 8220 |
| &nbsp;&nbsp;&nbsp; Veros Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 0.92%, 10/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2560 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4469 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 ‡ (a) (e) | &nbsp;&nbsp; 14851 | &nbsp;&nbsp;&nbsp;&nbsp; 13607 |
| &nbsp;&nbsp;&nbsp; VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 ‡ (a) (e) | &nbsp;&nbsp; 14513 | &nbsp;&nbsp;&nbsp;&nbsp; 13542 |
| &nbsp;&nbsp;&nbsp; VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6413 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (a) (e) | &nbsp;&nbsp; 15804 | &nbsp;&nbsp;&nbsp;&nbsp; 14149 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (e) | &nbsp;&nbsp; 15480 | &nbsp;&nbsp;&nbsp;&nbsp; 13700 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7087 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (e) | &nbsp;&nbsp; 13062 | &nbsp;&nbsp;&nbsp;&nbsp; 12164 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (e) | &nbsp;&nbsp; 14010 | &nbsp;&nbsp;&nbsp;&nbsp; 12467 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (e) | &nbsp;&nbsp; 10140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9044 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1003 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 975 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class D, 2.72%, 11/15/2024 (a) | &nbsp;&nbsp; 15194 | &nbsp;&nbsp;&nbsp;&nbsp; 15070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D, 3.20%, 11/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class E, 3.59%, 3/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class C, 2.52%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class D, 2.80%, 6/16/2025 (a) | &nbsp;&nbsp; 17575 | &nbsp;&nbsp;&nbsp;&nbsp; 17156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class C, 2.01%, 7/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class C, 1.24%, 11/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class D, 2.76%, 1/15/2026 (a) | &nbsp;&nbsp; 19100 | &nbsp;&nbsp;&nbsp;&nbsp; 18483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class D, 1.65%, 2/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | &nbsp;&nbsp; 22136 | &nbsp;&nbsp;&nbsp;&nbsp; 20583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 1.58%, 1/15/2027 (a) | &nbsp;&nbsp; 22380 | &nbsp;&nbsp;&nbsp;&nbsp; 20866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $2,058,393)<br>|  | 1940513 |
| **U.S. Treasury Obligations — 17.6%** | **U.S. Treasury Obligations — 17.6%** | **U.S. Treasury Obligations — 17.6%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 11/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 8360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 7/31/2024 | &nbsp;&nbsp; 58890 | &nbsp;&nbsp;&nbsp;&nbsp; 57498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 9/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 2445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury 3 Month Bill Money Market Yield), 4.47%, 10/31/2024 (b) | 233290 | &nbsp;&nbsp;&nbsp; 233175 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 3/15/2025 | 5870 | 5553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/15/2025 | 52745 | 50956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 7/15/2025 | 295007 | 286480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/15/2025 | 113860 | 110911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 9/15/2025 | 277004 | 272546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/15/2025 | 225779 | 226608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2025 | 16665 | 16852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $1,284,517)<br>|  | 1271142 |
| **Collateralized Mortgage Obligations — 9.7%** | **Collateralized Mortgage Obligations — 9.7%** | **Collateralized Mortgage Obligations — 9.7%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust Series 2003-J3, Class 2A1, 6.25%, 12/25/2033 | 7 | 7 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust Series 2020-5, Class A1, 1.37%, 5/25/2065 (a) (c) | 1576 | 1394 |
| &nbsp;&nbsp;&nbsp; ANTLR Mortgage Trust Series 2021-RTL1, Class A1, 2.12%, 11/25/2024 (a) (e) | 11384 | 10773 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust Series 2003-7, Class 3A, 3.48%, 10/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust Series 2021-HB6, Class A, 0.90%, 6/25/2036 (a) (c) | &nbsp;&nbsp;&nbsp; 13046 | &nbsp;&nbsp;&nbsp;&nbsp; 12287 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-HB4, Class A, 0.95%, 12/26/2030 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB5, Class A, 0.80%, 2/25/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB5, Class M2, 1.85%, 2/25/2031 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB7, Class A, 1.15%, 10/27/2031 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HB9, Class A, 3.25%, 9/25/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6844 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6175 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP3, Class A1, 7.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 3.91%, 8/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1M1, 4.27%, 10/25/2041 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2, 6.52%, 1/25/2042 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8, Class 6A1, 4.50%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; CSMC Mortgage-Backed Trust Series 2007-5, Class 5A5, 5.50%, 12/25/2014 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (c) | &nbsp;&nbsp;&nbsp; 10023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9382 |
| &nbsp;&nbsp;&nbsp; FHLMC - GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 31, Class Z, 8.00%, 4/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 56, Class Z, 7.50%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; FHLMC STACR REMIC Trust Series 2020-DNA1, Class M2, 5.72%, 1/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1053 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-CS03, Class M1, 4.02%, 10/25/2032 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA2, Class M1, 4.32%, 8/25/2033 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1480, Class LZ, 7.50%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3784, Class S, IF, IO, 2.73%, 7/15/2023 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3784, Class F, 4.27%, 7/15/2023 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3229, Class AF, 4.12%, 8/15/2023 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1560, Class Z, 7.00%, 8/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2682, Class JG, 4.50%, 10/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2686, Class GC, 5.00%, 10/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2790, Class TN, 4.00%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1754, Class Z, 8.50%, 9/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1779, Class Z, 8.50%, 4/15/2025 | 25 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4303, Class VA, 3.50%, 5/15/2025 | 259 | 254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3005, Class ED, 5.00%, 7/15/2025 | 264 | 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3826, Class BK, 3.00%, 3/15/2026 | 250 | 243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3864, Class PG, 3.50%, 5/15/2026 | 41 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3887, Class GM, 4.00%, 7/15/2026 (e) | 54 | 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3903, Class GB, 4.00%, 8/15/2026 | 194 | 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3909, Class HG, 4.00%, 8/15/2026 (e) | 135 | 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1888, Class Z, 7.00%, 8/15/2026 | 24 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3936, Class AB, 3.00%, 10/15/2026 | 290 | 280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3946, Class BU, 3.00%, 10/15/2026 | 103 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3996, Class BA, 1.50%, 2/15/2027 | 96 | 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4015, Class GL, 2.25%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4020, Class N, 3.00%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4054, Class AE, 1.50%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4029, Class LY, 3.00%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class AB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4043, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4097, Class HJ, 1.50%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4089, Class AI, IO, 3.00%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4103, Class HA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4361, Class CA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4257, Class A, 2.50%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4131, Class BC, 1.25%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4129, Class AP, 1.50%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4286, Class J, 2.50%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4141, Class BI, IO, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4304, Class DW, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4207, Class JD, 1.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class UD, 1.75%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2090, Class F, 4.07%, 10/15/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class MX, 4.50%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class GE, 2.50%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2995, Class FT, 4.12%, 5/15/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3721, Class DG, 2.75%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3775, Class DB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class LB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class FY, 4.17%, 4/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2326, Class ZQ, 6.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2362, Class F, 4.27%, 9/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class FD, 4.37%, 3/15/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4318, Class KB, 2.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4170, Class QE, 2.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4094, Class BF, 4.27%, 8/15/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2492, Class GH, 6.00%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4120, Class KA, 1.75%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4142, Class PG, 2.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2711, Class FC, 4.77%, 2/15/2033 (c) | 833 | 837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2602, Class FH, 4.18%, 4/15/2033 (c) | 174 | 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4206, Class DZ, 3.00%, 5/15/2033 | 496 | 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4423, Class VN, 3.00%, 5/15/2033 | 1100 | 1040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2617, Class Z, 5.50%, 5/15/2033 | 3458 | 3520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2662, Class MT, 4.50%, 8/15/2033 | 64 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4620, IO, 5.00%, 9/15/2033 | 297 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4255, Class LZ, 3.00%, 10/15/2033 | 10502 | 9868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2686, Class KZ, 4.50%, 10/15/2033 | 732 | 711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2693, Class Z, 5.50%, 10/15/2033 | 144 | 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3005, Class PV, IF, 6.64%, 10/15/2033 (c) | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2727, Class PM, 4.50%, 1/15/2034 | 817 | 811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2736, Class PE, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2806, Class FA, 4.87%, 2/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2989, Class MU, IF, IO, 3.13%, 7/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3204, Class ZM, 5.00%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2963, Class ZG, 5.00%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2898, Class PG, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3003, Class LD, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2901, Class S, IF, 6.31%, 12/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4265, Class FD, 4.27%, 1/15/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2933, Class EM, 5.50%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2929, Class PG, 5.00%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2941, Class Z, 4.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2953, Class PG, 5.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2976, Class HZ, 4.50%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3002, Class BN, 5.00%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3013, Class HZ, 5.00%, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3036, Class NE, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3174, Class LF, 4.22%, 5/15/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3662, Class ZB, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4646, Class JV, 3.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class DC, 4.00%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class NB, 4.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3855, Class AM, 6.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class CZ, 4.00%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3249, Class CL, 4.25%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3258, Class PM, 5.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4279, Class JA, 3.00%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class IW, IF, IO, 2.58%, 4/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class HF, 4.13%, 5/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class FG, 4.22%, 6/15/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3724, Class CM, 5.50%, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3351, Class ZC, 5.50%, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3420, Class EI, IO, 1.12%, 8/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3429, Class S, IF, IO, 2.95%, 3/15/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 556 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3447, Class DB, 5.00%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1559 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3459, Class MB, 5.00%, 6/15/2038 | 96 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3575, Class ZA, 5.00%, 6/15/2038 | 3806 | 3849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 3.08%, 2/15/2039 (c) | 421 | 414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3540, Class A, 5.00%, 5/15/2039 | 230 | 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4346, Class A, 3.50%, 7/15/2039 | 67 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3597, Class HM, 4.50%, 8/15/2039 | 147 | 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3569, Class NY, 5.00%, 8/15/2039 | 517 | 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3572, Class JS, IF, IO, 2.93%, 9/15/2039 (c) | 343 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4212, Class LA, 3.00%, 10/15/2039 | 384 | 376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3585, Class KW, 4.50%, 10/15/2039 | 1546 | 1524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3609, Class SA, IF, IO, 2.47%, 12/15/2039 (c) | 1963 | 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3768, Class MB, 4.00%, 12/15/2039 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4329, Class KA, 3.00%, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class PK, 5.00%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4352, Class A, 3.00%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3656, Class PM, 5.00%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class G, 4.00%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3786, Class NA, 4.50%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3726, Class PA, 3.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3706, Class P, 4.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4655, Class DJ, 3.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4088, Class LE, 4.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4318, Class KZ, 4.00%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2584 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3769, Class ZC, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3803, Class FY, 4.27%, 1/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3822, Class ZG, 4.00%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4080, Class DA, 2.00%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3862, Class GA, 4.00%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3844, Class FA, 4.32%, 4/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4074, Class PA, 3.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4050, Class BA, 3.50%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3859, Class JB, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class JE, 2.00%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3884, Class BL, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 5213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3939, Class BZ, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FN, 4.17%, 7/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4152, Class LE, 1.75%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3904, Class HC, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3906, Class B, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FY, 4.17%, 8/15/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3952, Class BQ, 2.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3947, Class BH, 2.50%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3934, Class KB, 5.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class VZ, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4550, Class NA, 3.00%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4122, Class PA, 1.50%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4144, Class KD, 1.75%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4215, Class NA, 3.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4088, Class BP, 3.00%, 8/15/2042 | 3435 | 3083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4143, Class AE, 2.00%, 9/15/2042 | 1796 | 1643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class TC, 1.75%, 12/15/2042 | 255 | 229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4247, Class AK, 4.50%, 12/15/2042 | 400 | 396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class LD, 2.00%, 1/15/2043 | 503 | 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4199, Class YZ, 3.50%, 5/15/2043 | 4309 | 4075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4302, Class MA, 3.00%, 7/15/2043 | 1379 | 1319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4314, Class LP, 3.50%, 7/15/2043 | 41 | 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4558, Class DA, 3.50%, 7/15/2043 | 349 | 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4311, Class ED, 2.75%, 9/15/2043 | 95 | 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class LA, 3.50%, 9/15/2043 | 177 | 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4450, Class NH, 2.00%, 10/15/2043 | 30 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4330, Class PE, 3.00%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4286, Class MP, 4.00%, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4316, Class DZ, 3.00%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class A, 2.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4505, Class P, 3.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4360, Class PZ, 3.00%, 7/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4417, Class PZ, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4545, Class PG, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 668 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4745, Class EC, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4425, Class TA, 2.00%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4461, Class LZ, 3.00%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4457, Class KZ, 3.00%, 4/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 8742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4478, Class PC, 2.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4631, Class PA, 3.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2086 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4664, Class PH, 3.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4698, Class DA, 4.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4759, Class MA, 3.00%, 9/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4591, Class QE, 2.75%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4574, Class YH, 3.00%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4774, Class LP, 3.50%, 9/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4714, Class PA, 3.00%, 11/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4657, Class VZ, 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp; 10651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4830, Class AP, 4.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4675, Class EZ, 3.50%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class LC, 2.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class AP, 3.00%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4703, Class KZ, 3.50%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4740, Class JA, 3.00%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4749, Class ZL, 3.50%, 12/15/2047 | &nbsp;&nbsp;&nbsp; 18364 | &nbsp;&nbsp;&nbsp;&nbsp; 16835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4936, Class AP, 2.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4941, Class NP, 2.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 863 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4922, Class GE, 2.50%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4952, Class PA, 2.50%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1194 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 302, Class 350, 3.50%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, PO, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 290, Class 200, 2.00%, 11/15/2032 | 414 | 377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 277, Class 30, 3.00%, 9/15/2042 | 2463 | 2272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 350, 3.50%, 10/15/2047 | 1601 | 1495 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-44, Class N, PO, 6/25/2023 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-216, Class E, PO, 8/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SN, IF, 8.89%, 9/25/2023 (c) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-226, Class PK, 6.00%, 12/25/2023 | 25 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-15, Class ZK, 5.50%, 2/25/2024 | 52 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-43, Class PK, 6.35%, 2/25/2024 | 24 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-40, PO, 4/25/2024 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G94-6, Class PJ, 8.00%, 5/17/2024 | 8 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-38, Class B, 4.00%, 4/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-48, Class CN, 4.00%, 6/25/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class B, 3.00%, 7/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-72, Class KB, 3.50%, 8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-32, Class DE, 3.00%, 12/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-26, Class CA, 2.50%, 3/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-46, Class KI, IO, 3.50%, 5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-102, Class IB, IO, 3.50%, 9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-127, Class AC, 1.50%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-124, Class HG, 2.00%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-5, Class DA, 1.50%, 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-26, Class HC, 2.50%, 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-13, Class KD, 1.50%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-72, IO, 5.00%, 8/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-137, Class BA, 1.50%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-15, Class AC, 5.50%, 3/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-58, Class B, 4.50%, 8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 884 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class AC, 4.00%, 3/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-14, Class EA, 2.50%, 12/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-38, Class EA, PO, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-89, Class KE, 2.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-98, Class QG, 1.75%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class HE, 6.50%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-34, Class FA, 4.41%, 5/18/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-109, Class BA, 3.00%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-64, Class PG, 5.50%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class FH, 4.82%, 11/25/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class TF, 4.91%, 12/18/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class QG, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-84, Class DZ, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-94, Class BZ, 5.50%, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-18, Class TG, 2.00%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class FB, 4.77%, 2/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-31, Class NL, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class CI, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-63, Class A7, 5.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1626 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-49, IO, 6.50%, 6/25/2033 | 218 | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class GL, 3.50%, 7/25/2033 | 112 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-133, Class WA, 3.00%, 8/25/2033 | 2057 | 1963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-84, Class PZ, 5.00%, 9/25/2033 | 56 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-107, Class ZD, 6.00%, 11/25/2033 | 1185 | 1223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-38, Class AO, PO, 5/25/2034 | 2138 | 1558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-72, Class F, 4.52%, 9/25/2034 (c) | 107 | 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-91, Class BR, 5.50%, 12/25/2034 | 62 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class ZU, 6.00%, 12/25/2034 | 950 | 985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class PA, 5.00%, 1/25/2035 | 335 | 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-101, Class AR, 5.50%, 1/25/2035 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-27, Class HZ, 5.00%, 4/25/2035 | 1704 | 1703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-31, Class PB, 5.50%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-38, Class FK, 4.32%, 5/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-41, Class CA, 3.00%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class PF, 4.27%, 7/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55, Class PN, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64, Class PL, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-103, Class BT, IF, 6.50%, 7/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class PB, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class FT, 4.97%, 10/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-88, Class ZC, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class VZ, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class MB, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-114, Class JA, 3.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-87, Class TB, 4.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-101, Class B, 5.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-99, Class AF, 4.37%, 12/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-88, Class ER, 2.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class FC, 4.32%, 3/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class DB, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class BF, 4.32%, 4/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.42%, 6/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-42, Class PF, 4.43%, 6/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PE, 5.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-71, Class JT, 6.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class ST, IF, IO, 3.13%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FC, 4.32%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FD, 4.32%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class DC, 4.67%, 7/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class NF, 4.27%, 2/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 2.06%, 3/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.77%, 3/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-33, Class MS, IF, IO, 2.57%, 4/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-71, Class FB, 4.52%, 5/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, Class ZE, 4.75%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-B2, Class ZA, 5.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-5, Class PE, 5.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SH, IF, IO, 2.48%, 9/25/2037 (c) | 879 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class FM, 4.72%, 1/25/2038 (c) | 155 | 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class MF, 4.72%, 1/25/2038 (c) | 290 | 289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-24, Class PF, 4.67%, 2/25/2038 (c) | 86 | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SE, IF, IO, 2.25%, 3/25/2038 (c) | 84 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-25, Class DZ, 5.75%, 4/25/2038 | 427 | 431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-96, Class YA, 3.50%, 9/25/2038 | 201 | 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-83, Class CA, 6.00%, 9/25/2038 | 474 | 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-134, Class DJ, 2.25%, 3/25/2039 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-104, Class KY, 4.00%, 3/25/2039 | 151 | 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-29, Class LA, 1.25%, 5/25/2039 (c) | 975 | 873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-62, Class HJ, 6.00%, 5/25/2039 | 65 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-25, Class DC, 2.50%, 6/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 452 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class FA, 5.22%, 9/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-73, Class HJ, 6.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-118, Class EF, 4.47%, 10/25/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class PE, 5.00%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-125, Class AB, 4.00%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-87, Class B, 4.50%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class SW, IF, IO, 2.23%, 1/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class KF, 4.52%, 4/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-37, Class CY, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-3, Class KA, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class ZA, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 990 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class HJ, 5.50%, 5/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FA, 4.57%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FY, 4.75%, 6/25/2040 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-109, Class M, 3.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-126, Class LI, IO, 4.00%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-154, Class MW, 3.50%, 1/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-18, Class KY, 4.00%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-35, Class PE, 4.00%, 4/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-53, Class FT, 4.60%, 6/25/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-52, Class GB, 5.00%, 6/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-128, Class KP, 4.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-59, Class NZ, 5.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-147, Class NE, 1.75%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-14, Class PA, 2.00%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class LY, 3.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-45, Class GA, 2.50%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-126, Class CA, 4.00%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-123, Class BP, 2.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-141, Class MA, 3.50%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-64, Class PK, 4.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-113, Class DC, 2.25%, 1/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-27, Class PL, 2.00%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 219 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-139, Class NY, 5.00%, 2/25/2042 | 1586 | 1599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-133, Class AP, 1.75%, 3/25/2042 | 3693 | 3256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-100, Class TL, 4.00%, 4/25/2042 | 278 | 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-80, Class EB, 4.50%, 4/25/2042 | 324 | 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-9, Class CB, 5.50%, 4/25/2042 | 2783 | 2845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-73, Class PG, 2.50%, 6/25/2042 | 851 | 787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-128, Class VF, 4.27%, 6/25/2042 (c) | 475 | 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-144, Class HP, 1.75%, 7/25/2042 | 484 | 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-93, Class PJ, 3.00%, 7/25/2042 | 717 | 685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-96, Class FY, 4.37%, 7/25/2042 (c) | 207 | 202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-34, Class PC, 2.50%, 8/25/2042 | 567 | 524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-18, Class DE, 4.00%, 8/25/2042 | 862 | 844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-94, Class K, 2.00%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 937 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-60, Class PD, 2.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-112, Class DA, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class NC, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class AF, 4.27%, 11/25/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-6, Class HD, 1.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-35, Class LP, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-61, Class BA, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class PA, 1.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class UB, 2.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-58, Class FP, 4.27%, 2/25/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 658 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class PL, 4.50%, 3/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class LB, 1.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class ZV, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp; 11215 | &nbsp;&nbsp;&nbsp;&nbsp; 10316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-33, Class UZ, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 8412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-64, Class PF, 4.27%, 4/25/2043 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3, Class BL, 2.50%, 6/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class MB, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-43, Class PZ, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-32, Class DK, 3.00%, 8/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, Class DE, 4.00%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-34, Class UP, 3.00%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 736 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-56, Class Z, 3.50%, 9/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 6641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-74, Class KA, 3.00%, 11/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-100, Class P, 3.50%, 11/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18, Class DC, 2.50%, 2/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-33, Class DT, 2.50%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-51, Class KC, 3.00%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-18, Class DA, 3.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-84, Class LA, 3.00%, 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 954 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class GA, 3.00%, 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-16, Class AL, 3.00%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 9753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-15, Class PE, 3.50%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-68, Class HQ, 3.00%, 7/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-80, Class JP, 3.00%, 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-85, Class HA, 3.00%, 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1381 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-11, Class PH, 2.50%, 3/25/2047 | 216 | 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-10, Class FA, 4.42%, 3/25/2047 (c) | 228 | 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-89, Class KZ, 3.50%, 8/25/2047 | 6750 | 5831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-84, Class JA, 2.75%, 9/25/2047 | 562 | 507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-96, Class MA, 3.00%, 12/25/2047 | 466 | 429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-102, Class PZ, 3.50%, 12/25/2047 | 2263 | 1967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-37, Class BC, 3.50%, 12/25/2047 | 311 | 290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-13, Class PA, 3.00%, 3/25/2048 | 8338 | 7478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class NZ, 3.00%, 3/25/2048 | 8179 | 7451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class ZG, 3.50%, 3/25/2048 | 1970 | 1786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17, Class KA, 3.50%, 4/25/2048 | 348 | 330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class PA, 2.50%, 5/25/2048 | 191 | 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-11, Class EA, 3.00%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20, Class PB, 2.75%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-87, Class BA, 4.00%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-94, PO, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-9, Class ZA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-51, Class DW, 3.50%, 11/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-49, Class GA, 1.50%, 2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class ZY, 5.50%, 3/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-18, Class BA, 3.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 9400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class JA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-72, Class KA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EA, 2.00%, 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class MB, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-81, Class LA, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7, Class DZ, 3.00%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EM, 3.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-33, Class MA, 3.50%, 7/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-70, Class HA, 3.50%, 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 638 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan Series 1995-W3, Class A, 9.00%, 4/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.42%, 6/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.24%, 10/25/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-50, Class BA, 7.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 289, Class 1, PO, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 17, IO, 6.50%, 2/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 13, IO, 6.00%, 3/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 9, IO, 6.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 356, Class 16, IO, 5.50%, 6/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 16, IO, 5.50%, 10/25/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 19, IO, 6.00%, 10/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 26, IO, 6.50%, 10/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 386, Class 20, IO, 6.50%, 8/25/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 394, Class C3, IO, 6.50%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class A3, 3.00%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1134 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.28%, 11/25/2046 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1218 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-132, Class GJ, 2.00%, 9/16/2026 | 203 | 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-155, Class A, 3.00%, 11/20/2026 | 65 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-158, Class AB, 3.00%, 11/20/2026 | 128 | 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class AC, 1.50%, 5/20/2028 | 983 | 918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-50, Class F, 4.19%, 5/16/2033 (c) | 102 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-39, Class IN, IO, 5.50%, 6/20/2033 | 102 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class S, IF, IO, 2.56%, 6/20/2036 (c) | 3522 | 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class KU, IF, IO, 2.71%, 4/20/2037 (c) | 2092 | 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class XL, IF, IO, 2.81%, 6/20/2037 (c) | 1934 | 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-23, Class BP, 3.00%, 9/20/2037 | 252 | 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-75, Class SP, IF, IO, 3.53%, 8/20/2038 (c) | 729 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class SA, IF, IO, 2.14%, 3/20/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KS, IF, IO, 2.36%, 3/20/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-75, Class NB, 4.50%, 6/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-59, Class HZ, 4.50%, 5/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-26, Class PA, 4.00%, 7/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-71, Class NA, 2.50%, 8/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-96, Class WP, 6.50%, 8/16/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-42, Class ND, 1.75%, 11/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-28, Class DE, 1.75%, 12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-12, Class ZA, 3.00%, 1/20/2044 | &nbsp;&nbsp;&nbsp; 16481 | &nbsp;&nbsp;&nbsp;&nbsp; 15368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-29, Class LC, 3.00%, 4/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25, Class QH, 3.00%, 12/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CP, 4.50%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CQ, 5.00%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-36, Class AM, 3.00%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-79, Class LA, 3.00%, 9/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-90, Class MA, 3.00%, 10/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-104, Class MA, 3.00%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-125, Class AG, 2.50%, 2/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-91, Class WH, 2.75%, 3/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-65, Class DZ, 3.00%, 4/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-139, Class PE, 2.75%, 8/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-34, Class TY, 3.50%, 3/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-74, Class AT, 3.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-145, Class PA, 3.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class NA, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-74, Class DY, 2.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-83, Class KP, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H26, Class LF, 3.49%, 8/20/2058 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H03, Class FA, 4.15%, 3/20/2060 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H07, Class FA, 3.64%, 2/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H08, Class FA, 3.74%, 2/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FA, 3.64%, 3/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FB, 3.64%, 4/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H21, Class FA, 3.74%, 10/20/2061 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 3.54%, 2/20/2062 (c) | 56 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H14, Class FK, 3.72%, 7/20/2062 (c) | 209 | 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 3.66%, 8/20/2062 (c) | 166 | 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H20, Class BA, 3.70%, 9/20/2062 (c) | 338 | 336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H23, Class WA, 3.66%, 10/20/2062 (c) | 205 | 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 3.66%, 10/20/2062 (c) | 82 | 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H30, Class GA, 3.49%, 12/20/2062 (c) | 173 | 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FA, 3.49%, 3/20/2063 (c) | 259 | 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H11, Class FA, 3.59%, 4/20/2063 (c) | 228 | 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FG, 3.61%, 5/20/2063 (c) | 85 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H15, Class FA, 3.68%, 6/20/2063 (c) | 792 | 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H19, Class FC, 3.74%, 8/20/2063 (c) | 1609 | 1599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FB, 3.74%, 12/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H02, Class FB, 3.79%, 12/20/2063 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H16, Class FL, 3.10%, 7/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H14, Class GF, 3.61%, 7/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H21, Class FA, 3.79%, 10/20/2064 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H04, Class FL, 3.61%, 2/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H09, Class FA, 2.75%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FK, 3.00%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp; 12315 | &nbsp;&nbsp;&nbsp;&nbsp; 12038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FH, 3.05%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H13, Class FG, 3.54%, 4/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FB, 3.57%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FB, 3.74%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FD, 3.74%, 5/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1394 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FA, 3.71%, 6/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FM, 3.74%, 7/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H24, Class FA, 3.79%, 9/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H27, Class FA, 3.89%, 9/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H25, Class FD, 3.79%, 10/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6431 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FA, 3.84%, 10/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FJ, 3.63%, 11/20/2065 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3943 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H01, Class FA, 3.58%, 1/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FA, 2.82%, 2/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FC, 3.34%, 2/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H09, Class FN, 3.11%, 3/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H14, Class FA, 3.94%, 6/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H22, Class FA, 3.91%, 10/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H24, Class AF, 3.99%, 11/20/2066 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H07, Class FG, 3.60%, 2/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class FD, 3.61%, 6/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H16, Class CF, 3.61%, 7/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H15, Class FN, 3.64%, 7/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H19, Class FA, 3.59%, 8/20/2067 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H04, Class FG, 3.42%, 2/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H07, Class FE, 3.49%, 2/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H01, Class FT, 3.54%, 10/20/2068 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H05, Class FT, 4.47%, 4/20/2069 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5708 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5711 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 5A1, 5.50%, 12/25/2019 | 157 | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (c) | 412 | 404 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GS5, Class A1, 3.25%, 6/25/2060 (a) (e) | 940 | 907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (e) | 3916 | 3465 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (a) (c) | 6000 | 5654 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust Series 2004-8, Class 6A1, 5.50%, 9/25/2019 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; MFA Trust Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (a) (c) | 1165 | 933 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-AR6, Class 4A1, 4.56%, 12/25/2035 (c) | 1299 | 350 |
| &nbsp;&nbsp;&nbsp; NYMT Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SP2, Class A1, 2.94%, 10/25/2060 (a) (c) | 8700 | 8339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (e) | &nbsp;&nbsp;&nbsp; 11144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9907 |
| &nbsp;&nbsp;&nbsp; OBX Trust Series 2020-EXP3, Class 2A1, 4.94%, 1/25/2060 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 899 |
| &nbsp;&nbsp;&nbsp; PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A1, 2.95%, 10/25/2025 ‡ (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-6, Class A1, 2.36%, 11/25/2025 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3681 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1, 2.12%, 1/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A1, 1.87%, 4/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A1, 1.87%, 4/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp; 15186 | &nbsp;&nbsp;&nbsp;&nbsp; 13710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp; 13913 | &nbsp;&nbsp;&nbsp;&nbsp; 12449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL2, Class A1, 1.46%, 10/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1721 |
| &nbsp;&nbsp;&nbsp; Visio Trust Series 2019-2, Class A1, 2.72%, 11/25/2054 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $773,537)<br>|  | &nbsp;&nbsp;&nbsp; 699852 |
| **Commercial Mortgage-Backed Securities — 3.5%** | **Commercial Mortgage-Backed Securities — 3.5%** | **Commercial Mortgage-Backed Securities — 3.5%** |
| &nbsp;&nbsp;&nbsp; BANK Series 2020-BN30, Class XA, IO, 1.42%, 12/15/2053 (c) | &nbsp;&nbsp;&nbsp; 84089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5981 |
| &nbsp;&nbsp;&nbsp; BX Series 2021-MFM1, Class A, 4.57%, 1/15/2034 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2897 |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC17, Class C, 5.25%, 11/10/2046 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC23, Class C, 4.58%, 7/10/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4119 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CBM, Class A2, 2.90%, 2/10/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CBM, Class B, 3.10%, 2/10/2037 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-CR16, Class AM, 4.28%, 4/10/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 9853 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS3, Class B, 4.31%, 6/10/2047 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-CR19, Class B, 4.70%, 8/10/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR26, Class B, 4.62%, 10/10/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1869 |
| &nbsp;&nbsp;&nbsp; CSAIL Commercial Mortgage Trust Series 2015-C1, Class A3, 3.24%, 4/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2293 |
| &nbsp;&nbsp;&nbsp; DBJPM Mortgage Trust Series 2017-C6, Class A3, 3.27%, 6/10/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1797 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K068, Class X1, IO, 0.56%, 8/25/2027 (c) | &nbsp;&nbsp;&nbsp; 67089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K740, Class X1, IO, 0.84%, 9/25/2027 (c) | 104360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K114, Class X1, IO, 1.21%, 6/25/2030 (c) | &nbsp;&nbsp;&nbsp; 39839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2610 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA ACES Series 2020-M10, Class X1, IO, 1.91%, 12/25/2030 (c) | 56146 | 5781 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K723, Class C, 3.69%, 11/25/2023 (a) (c) | 2700 | 2618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K733, Class C, 4.22%, 9/25/2025 (a) (c) | 7000 | 6585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K735, Class B, 4.16%, 5/25/2026 (a) (c) | 7480 | 7053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-K29, Class C, 3.58%, 5/25/2046 (a) (c) | 1580 | 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-K28, Class C, 3.58%, 6/25/2046 (a) (c) | 7000 | 6942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-K32, Class C, 3.64%, 10/25/2046 (a) (c) | 3000 | 2935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-K35, Class C, 4.07%, 12/25/2046 (a) (c) | 5000 | 4913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-K39, Class C, 4.28%, 8/25/2047 (a) (c) | 6500 | 6256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-K41, Class C, 3.96%, 11/25/2047 (a) (c) | 4350 | 4139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K44, Class B, 3.85%, 1/25/2048 (a) (c) | 6000 | 5710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K44, Class C, 3.85%, 1/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K42, Class C, 3.98%, 1/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K43, Class C, 3.86%, 2/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K45, Class B, 3.73%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K45, Class C, 3.73%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K54, Class B, 4.19%, 4/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K49, Class B, 3.85%, 10/25/2048 (a) (c) | &nbsp;&nbsp; 11350 | &nbsp;&nbsp;&nbsp;&nbsp; 10754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K50, Class B, 3.91%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-K50, Class C, 3.91%, 10/25/2048 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K722, Class C, 4.06%, 7/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K729, Class B, 3.80%, 11/25/2049 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K730, Class C, 3.92%, 2/25/2050 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K734, Class B, 4.19%, 2/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.42%, 1/25/2053 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1405 |
| &nbsp;&nbsp;&nbsp; GS Mortgage Securities Trust Series 2013-GC12, Class B, 3.78%, 6/10/2046 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2580 |
| &nbsp;&nbsp;&nbsp; Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2965 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C30, Class C, 4.37%, 7/15/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C31, Class C, 4.78%, 8/15/2048 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2503 |
| &nbsp;&nbsp;&nbsp; JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A3, 3.11%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3745 |
| &nbsp;&nbsp;&nbsp; KKR Industrial Portfolio Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-KDIP, Class A, 4.43%, 12/15/2037 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-KDIP, Class B, 4.68%, 12/15/2037 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2138 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, 4.68%, 4/15/2038 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class D, 5.48%, 4/15/2038 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2356 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C13, Class A3, 3.77%, 11/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C17, Class C, 4.64%, 8/15/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C18, Class B, 4.58%, 10/15/2047 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C31, Class B, 3.88%, 11/15/2049 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3564 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Series 2017-HR2, Class A2, 3.35%, 12/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3884 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3449 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust Series 2019-PARK, Class B, 2.72%, 12/15/2036 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5435 |
| &nbsp;&nbsp;&nbsp; OPG Trust Series 2021-PORT, Class B, 4.59%, 10/15/2036 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4297 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4028 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Velocity Commercial Capital Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.40%, 5/25/2051 (a) (c) | 3727 | 3029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (c) | 10541 | 8735 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SAVE, Class A, 5.02%, 2/15/2040 (a) (c) | 10497 | 9796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C28, Class B, 4.22%, 5/15/2048 ‡ (c) | 3000 | 2765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C29, Class C, 4.36%, 6/15/2048 ‡ (c) | 1250 | 1137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C37, Class A3, 3.70%, 12/15/2049 | 643 | 627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C41, Class A2, 2.59%, 11/15/2050 | 1479 | 1322 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2014-C25, Class AS, 3.98%, 11/15/2047 | 7605 | 7211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $282,146)<br>|  | &nbsp;&nbsp;&nbsp; 255037 |
| **Mortgage-Backed Securities — 3.0%** | **Mortgage-Backed Securities — 3.0%** | **Mortgage-Backed Securities — 3.0%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 611141, ARM, 2.33%, 1/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 846774, ARM, 3.12%, 12/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B2844, ARM, 2.23%, 3/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1380, ARM, 3.53%, 3/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1379, ARM, 3.72%, 10/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 2.54%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 3.50%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1313, ARM, 3.50%, 6/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1028, ARM, 3.93%, 7/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0273, ARM, 3.85%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0035, ARM, 4.35%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1393, ARM, 3.82%, 10/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 1.89%, 11/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 1.94%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0346, ARM, 3.44%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1467, ARM, 3.74%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1541, ARM, 2.05%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 2.07%, 2/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1635, ARM, 2.06%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1522, ARM, 2.66%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1458, ARM, 3.94%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0339, ARM, 2.77%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 3.49%, 5/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1681, ARM, 3.73%, 6/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1685, ARM, 3.73%, 6/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847871, ARM, 3.46%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2834, ARM, 4.15%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0476, ARM, 3.99%, 10/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 4.00%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0894, ARM, 3.13%, 1/1/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 2.61%, 4/1/2038 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G13274, 5.50%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G13301, 5.50%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J10284, 6.00%, 12/1/2023 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G13433, 5.50%, 1/1/2024 | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J14783, 4.00%, 3/1/2026 | 38 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14643, 4.00%, 8/1/2026 | 49 | 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14973, 4.00%, 12/1/2028 | 64 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J31731, 3.00%, 5/1/2030 | 360 | 348 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30262, 6.00%, 10/1/2024 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30325, 5.50%, 3/1/2027 | 478 | 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91261, 4.50%, 8/1/2029 | 100 | 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91349, 4.50%, 12/1/2030 | 97 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30565, 4.50%, 10/1/2031 | 212 | 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30701, 5.00%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91388, 3.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91447, 3.50%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91449, 4.00%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91581, 3.00%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30669, 4.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91761, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # K92617, 3.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91862, 3.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91880, 3.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1510 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A30588, 6.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01665, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1567 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05046, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03073, 5.50%, 7/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04772, 7.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05091, 4.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05798, 5.50%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06061, 4.00%, 10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q06999, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q35618, 4.00%, 8/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G60701, 4.50%, 3/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G08729, 4.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T45022, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2574 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79013, 2.50%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79014, 2.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T40143, 2.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79019, 3.00%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79026, 2.50%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U49013, 3.00%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6019, 3.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6030, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6028, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6048, 2.50%, 5/1/2050 | 1424 | 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6041, 3.00%, 5/1/2050 | 5443 | 4768 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0722, 3.00%, 4/1/2033 | 6505 | 6230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8076, 4.00%, 7/1/2033 | 1871 | 1859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8124, 4.00%, 8/1/2033 | 2924 | 2874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0389, 3.50%, 12/1/2033 | 9471 | 9198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0754, 2.00%, 3/1/2036 | 1145 | 1034 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # ZT1674, 5.00%, 2/1/2035 | 4111 | 4173 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZM4070, 4.00%, 9/1/2047 | 3114 | 3003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZM4714, 3.50%, 11/1/2047 | 1961 | 1831 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 325081, ARM, 4.72%, 10/1/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 409902, ARM, 2.49%, 6/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 52597, ARM, 2.87%, 7/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725902, ARM, 3.90%, 9/1/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 4.11%, 1/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 865095, ARM, 4.35%, 10/1/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0295, ARM, 3.33%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894571, ARM, 3.63%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 579 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 877009, ARM, 4.24%, 3/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 895687, ARM, 4.97%, 5/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 882099, ARM, 3.03%, 7/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 3.71%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745858, ARM, 3.73%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 4.02%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 887714, ARM, 4.16%, 8/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 882241, ARM, 3.90%, 10/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 905593, ARM, 2.95%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870920, ARM, 2.99%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0296, ARM, 3.86%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 905196, ARM, 4.29%, 12/1/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888143, ARM, 1.82%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 3.74%, 1/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 3.71%, 2/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 910178, ARM, 2.36%, 3/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888750, ARM, 2.55%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 936588, ARM, 3.89%, 4/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 944105, ARM, 3.53%, 7/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 3.57%, 7/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950385, ARM, 3.16%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950382, ARM, 3.38%, 8/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0081, ARM, 2.71%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952182, ARM, 3.95%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 4.03%, 11/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966911, ARM, 3.13%, 12/1/2037 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 10 Year Pool # MA2233, 2.50%, 4/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889094, 6.50%, 1/1/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995286, 6.50%, 3/1/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0229, 5.50%, 9/1/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA1035, 6.00%, 12/1/2023 | 13 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0471, 5.50%, 1/1/2024 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995381, 6.00%, 1/1/2024 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE0081, 6.00%, 7/1/2024 | 44 | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 931730, 5.00%, 8/1/2024 | 37 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0365, 5.50%, 9/1/2024 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0662, 5.50%, 1/1/2025 | 107 | 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2193, 5.50%, 7/1/2025 | 152 | 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AJ5336, 3.00%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK0971, 3.00%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO0800, 3.00%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP7842, 3.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3439, 4.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4307, 4.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6105, 4.00%, 12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3524, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM4436, 4.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4258, 2.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5216 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745763, 6.50%, 3/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256714, 5.50%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0214, 5.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD5474, 5.00%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0534, 4.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4165, 4.50%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0804, 4.00%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0792, 4.50%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3894, 4.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890653, 4.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5958, 4.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1037, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL1722, 4.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB5811, 3.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7474, 3.50%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1270, 2.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3190, 4.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1802, 3.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8051, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5373, 4.50%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2587, 3.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2477, 3.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS7789, 3.00%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 3572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1370, 3.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1716 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ2544, 3.00%, 12/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1160 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2922, 3.00%, 2/1/2038 | 2147 | 2038 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250511, 6.50%, 3/1/2026 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555889, 8.00%, 12/1/2030 | 7 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254548, 5.50%, 12/1/2032 | 821 | 853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555458, 5.50%, 5/1/2033 | 1584 | 1651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB0054, 4.50%, 12/1/2034 | 2053 | 2047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | 1131 | 1176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | 1906 | 1962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889118, 5.50%, 4/1/2036 | 2168 | 2265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889209, 5.00%, 5/1/2036 | 113 | 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | 157 | 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889494, 5.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0249, 5.50%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995024, 5.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950302, 7.00%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929005, 6.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7521, 5.00%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3237, 5.00%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2025, 5.00%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD6431, 4.50%, 6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT6153, 4.00%, 2/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 6788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK6740, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL2171, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1981 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9370, 3.50%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7185, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB9260, 3.50%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS1334, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3560, 4.00%, 11/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3582, 4.00%, 11/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7622, 4.00%, 5/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7590, 3.50%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5450, 5.00%, 2/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3750 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year Pool # 801357, 5.50%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB7351, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ8837, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9357, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9760, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1360, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1557, 3.00%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK4847, 2.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6595, 4.00%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0194, 4.50%, 7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0896, 4.00%, 11/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1188, 3.00%, 9/1/2042 | 1826 | 1634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1349, 3.00%, 2/1/2043 | 1721 | 1539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1371, 3.00%, 3/1/2043 | 571 | 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1433, 3.00%, 5/1/2043 | 753 | 674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1510, 4.00%, 7/1/2043 | 861 | 830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | 1274 | 1199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3994, 3.50%, 1/1/2044 | 1639 | 1542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6854, 3.00%, 2/1/2044 | 2347 | 2114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7826, 3.50%, 1/1/2046 | 1925 | 1829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2621, 3.50%, 5/1/2046 | 382 | 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2744, 3.50%, 9/1/2046 | 915 | 834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH8493, 3.00%, 11/1/2047 | 1445 | 1269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3197, 3.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5053, 3.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6073, 3.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3876, 3.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3913, 3.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5133, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3971, 3.00%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5979, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4029, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4057, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6065, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4058, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6385, 3.00%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455 |
| &nbsp;&nbsp;&nbsp; GNMA I, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782933, 6.50%, 10/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 783929, 4.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 403964, 9.00%, 9/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780831, 9.50%, 12/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780115, 8.50%, 4/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780965, 9.50%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 423946, 9.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 687926, 6.50%, 9/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785282, 4.25%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 9367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE7700, 3.50%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 8746, ARM, 1.75%, 11/20/2025 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 8790, ARM, 2.63%, 1/20/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80053, ARM, 2.63%, 3/20/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80152, ARM, 2.63%, 1/20/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GNMA II, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5136, 4.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5208, 3.00%, 10/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5277, 3.50%, 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1974, 8.50%, 3/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1989, 8.50%, 4/20/2025 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | 489 | 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | 716 | 759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4247, 7.00%, 9/20/2038 | 1066 | 1136 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other Pool # MA6081, 3.50%, 8/20/2049 | 801 | 738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $239,339)<br>|  | &nbsp;&nbsp;&nbsp; 219835 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 7.7%** | **Short-Term Investments — 7.7%** | **Short-Term Investments — 7.7%** |
| **Investment Companies — 3.5%** | **Investment Companies — 3.5%** | **Investment Companies — 3.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (f) (g) <br>(Cost $253,717)<br>| 253717 | &nbsp;&nbsp;&nbsp; 253717 |
|  | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **U.S. Treasury Obligations — 4.2%** | **U.S. Treasury Obligations — 4.2%** | **U.S. Treasury Obligations — 4.2%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 1/19/2023 (h) | &nbsp;&nbsp;&nbsp; 34375 | &nbsp;&nbsp;&nbsp;&nbsp; 34192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 3/2/2023 (h) (i) | &nbsp;&nbsp;&nbsp; 13721 | &nbsp;&nbsp;&nbsp;&nbsp; 13573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.49%, 3/23/2023 (h) | 148015 | &nbsp;&nbsp;&nbsp; 146070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.41%, 4/20/2023 (h) | &nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 34407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.24%, 10/5/2023 (h) | &nbsp;&nbsp;&nbsp; 77170 | &nbsp;&nbsp;&nbsp;&nbsp; 74209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $304,034)<br>|  | &nbsp;&nbsp;&nbsp; 302451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments <br>(Cost $557,751)<br>|  | &nbsp;&nbsp;&nbsp; 556168 |
| **Total Investments — 101.3%** <br>**(Cost $7,723,255)**<br>|  | **7324274** |
| **Liabilities in Excess of Other Assets — (1.3)%** |  | **(95186)** |
| **NET ASSETS — 100.0%** |  | **7229088** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022. |
| CIFC | Commercial Industrial Finance Corp. |
| CLO | Collateralized Loan Obligations |
| CSMC | Credit Suisse Mortgage Trust |

---

------

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

---

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

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. |
| (c) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a <br> predetermined trigger. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (f) | 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>|
| (g) | The rate shown is the current yield as of November 30, 2022. |
| (h) | The rate shown is the effective yield as of November 30, 2022.  |
| (i) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. |

---

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

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 2 Year Note | 10528 | 03/31/2023 | USD | 2164080 | 6663 |
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp; (904) | 03/22/2023 | USD | &nbsp;&nbsp; (102872) | &nbsp;&nbsp;&nbsp; (793) |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp; (791) | 03/22/2023 | USD | &nbsp;&nbsp;&nbsp; (95081) | &nbsp;&nbsp;&nbsp; (966) |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (98) | 03/22/2023 | USD | &nbsp;&nbsp;&nbsp; (13447) | &nbsp;&nbsp;&nbsp; (313) |
| U.S. Treasury 5 Year Note | (4460) | 03/31/2023 | USD | &nbsp;&nbsp; (485234) | (3911) |
|  |  |  |  |  | (5983) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 680 |

---

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

---

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

---

------

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

------

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | $— | $1729801 | $210712 | $1940513 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 687601 | &nbsp;&nbsp;&nbsp;&nbsp; 12251 | &nbsp;&nbsp;&nbsp;&nbsp; 699852 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 187545 | &nbsp;&nbsp;&nbsp;&nbsp; 67492 | &nbsp;&nbsp;&nbsp;&nbsp; 255037 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 2381727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 2381727 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 219835 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 219835 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1271142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1271142 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 253717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 253717 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 302451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 302451 |
| Total Short-Term Investments | &nbsp;&nbsp; 253717 | &nbsp;&nbsp;&nbsp;&nbsp; 302451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 556168 |
| **Total Investments in Securities** | $253717 | $6780102 | $290455 | $7324274 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | $6663 | $— | $— | $6663 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; (5983) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5983) |
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| $680 | $— | $— | $680 |

---

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

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2022**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Other**<sup>(a)</sup> <br>| **Balance as of** <br>**November 30,** <br>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $217395 | $—(b) | $(15858) | $(38) | $14416 | $(45429) | $42473 | $(631) | $(1616) | $210712 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2932 | &nbsp;&nbsp;&nbsp;&nbsp; (16) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (483) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2784) | &nbsp;&nbsp;&nbsp;&nbsp; 2731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 9871 | &nbsp;&nbsp;&nbsp;&nbsp; 12251 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; 81685 | &nbsp;&nbsp; (247) | &nbsp;&nbsp;&nbsp;&nbsp; (5357) | &nbsp;&nbsp;&nbsp;&nbsp; (67) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3507) | &nbsp;&nbsp;&nbsp;&nbsp; 3240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; (8255) | &nbsp;&nbsp;&nbsp;&nbsp; 67492 |
| **Total** | $302012 | $(263) | $(21698) | $(105) | $14416 | $(51720) | $48444 | $(631) | $— | $290455 |

---

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

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

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

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

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(21,958).

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

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

------

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

decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at** <br>**November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted** <br>**Average) (a)**<br>|
|  | $182826  | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (5.64%) |
|  |  |  | Constant Default Rate | 0.00% - 7.80% (0.01%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.63% - 9.26% (6.94%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp; 182826 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 12251 | Discounted Cash Flow | Constant Prepayment Rate | 10.00% - 50.00% (16.02%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 6.82% - 9.69% (8.00%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligation<br>| &nbsp;&nbsp;&nbsp;&nbsp; 12251 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 67492 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 6.53% - 11.15% (8.17%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 67492 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $262569  |  |  |  |

---

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

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2022, the value of these investments was $27,886. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

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

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market <br> Fund Class Institutional Shares, 3.50% <br> (a) (b)<br>| $154305 | $3135199 | $3035787 | $— | $— | $253717 | 253717 | $3505 | $— |

---

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

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

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

- **a. Name of Series:** JPMorgan Short Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000003490

- **c. LEI of Series:** F9RLRLTOX821HGOUUJ26

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7352941500.30

**Total Liabilities:** $4483429.39

**Net Assets:** $7348458070.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 19234.47729000 | **1-Year:** 526370.12906000 | **5-Year:** 353441.62140000 | **10-Year:** 87015.63680000 | **30-Year:** 0.00000000

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

- **3-Month:** 141.74161000 | **1-Year:** 24808.31289000 | **5-Year:** 6827.85085000 | **10-Year:** 8760.84655000 | **30-Year:** 133.38595000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009657 | -1.26%               | -0.32%               | 0.87%                |
| Class ID C000009654 | -1.20%               | -0.44%               | 0.84%                |
| Class ID C000009656 | -1.32%               | -0.39%               | 0.79%                |
| Class ID C000009653 | -1.27%               | -0.32%               | 0.86%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-12419259.05            | $-88607563.79                              |
| Month 2  | $-14618902.88            | $-23680339.74                              |
| Month 3  | $-12946169.48            | $76562018.86                               |

**Designated Index Information**

- **Index Name:** 1-3 Yr Gov/Credit

- **Index Identifier:** 1030TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                                                 | FNMA, REMIC, Series 2013-33, Class UZ                                                           | CUSIP: 3136ADDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8411505 | PA      | $7820688.85   | 0.11%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-31, Class PB                                                           | CUSIP: 31394CY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713517 | PA      | $727023.68    | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                        | UniCredit SpA                                                                                   | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2120000 | PA      | $1865476.55   | 0.03%             | 2026-09-22      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43915 | PA      | $44118.20     | 0.00%             | 2036-06-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                           | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23645 | PA      | $117.48       | 0.00%             | 2037-03-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-16, Class AL                                                           | CUSIP: 3136ARTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9753129 | PA      | $8966433.44   | 0.12%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                               | Velocity Commercial Capital Loan Trust, Series 2021-1, Class A                                  | CUSIP: 92259TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3726552 | PA      | $3029202.86   | 0.04%             | 2051-05-25      | Variable      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H06, Class FA                                                                 | CUSIP: 38376RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2309993 | PA      | $2266699.46   | 0.03%             | 2066-02-20      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-72, Class KA                                                           | CUSIP: 3136B7JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206767 | PA      | $179091.38    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4314, Class LP                                                             | CUSIP: 3137B9GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40611 | PA      | $39502.75     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365023 | PA      | $360050.58    | 0.00%             | 2035-10-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                         | Ford Credit Auto Owner Trust, Series 2019-C, Class A3                                           | CUSIP: 34531KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37315 | PA      | $37230.85     | 0.00%             | 2024-03-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-18, Class DC                                                           | CUSIP: 3136B83F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292265 | PA      | $281333.77    | 0.00%             | 2045-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-1A, Class D                                  | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17575000 | PA      | $17156261.57  | 0.23%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31418MKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236662 | PA      | $232225.28    | 0.00%             | 2036-03-01      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2020-4, Class D                                  | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14510000 | PA      | $13773215.57  | 0.19%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128PPJ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $4683.13      | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-5, Class PE                                                            | CUSIP: 31396YGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96927 | PA      | $97189.17     | 0.00%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                        | AIB Group plc                                                                                   | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14465000 | PA      | $13925621.99  | 0.19%             | 2025-04-10      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163569 | PA      | $160347.27    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                             | Independence Plaza Trust, Series 2018-INDP, Class C                                             | CUSIP: 45378YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3225000 | PA      | $2965284.95   | 0.04%             | 2035-07-10      | Fixed         | 4.16%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-25, Class DC                                                           | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452149 | PA      | $427263.26    | 0.01%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT2, Class A                               | CUSIP: 62955WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14026476 | PA      | $12407521.83  | 0.17%             | 2026-05-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class B                                      | CUSIP: 22536BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7371000 | PA      | $6938473.41   | 0.09%             | 2029-12-17      | Fixed         | 1.77%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                                           | CUSIP: 04685A2Q3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  14000000 | PA      | $13445740.00  | 0.18%             | 2023-10-13      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -5112 | NC      | $-4483224.00  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4043, Class PB                                                             | CUSIP: 3137APSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371690 | PA      | $349437.12    | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-74, Class KA                                                           | CUSIP: 3136AX5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283390 | PA      | $273580.80    | 0.00%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H21, Class FA                                                                 | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288890 | PA      | $282585.93    | 0.00%             | 2064-10-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3803, Class FY                                                             | CUSIP: 3137A73K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60512 | PA      | $60321.86     | 0.00%             | 2041-01-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                       | Pagaya AI Debt Selection Trust, Series 2021-1, Class A                                          | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7267454 | PA      | $7129276.93   | 0.10%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63274 | PA      | $62475.65     | 0.00%             | 2036-08-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-100, Class TL                                                          | CUSIP: 3136A8PS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277618 | PA      | $266802.07    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                           | CUSIP: 86562MAA8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  30250000 | PA      | $29702873.39  | 0.40%             | 2024-04-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                      | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  22295000 | PA      | $20515094.50  | 0.28%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                       | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15479860 | PA      | $13699756.34  | 0.19%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4330, Class PE                                                             | CUSIP: 3137B9P74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128823 | PA      | $123136.60    | 0.00%             | 2043-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H27, Class FA                                                                 | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1546520 | PA      | $1520279.44   | 0.02%             | 2065-09-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140J8NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638576 | PA      | $1542234.66   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                              | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420714 | PA      | $414209.19    | 0.01%             | 2039-02-15      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2995, Class FT                                                             | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99170 | PA      | $97880.04     | 0.00%             | 2029-05-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-3A, Class E                                    | CUSIP: 30167EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8607979.80   | 0.12%             | 2026-08-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H30, Class GA                                                                 | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173323 | PA      | $171457.06    | 0.00%             | 2062-12-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                             | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-SD1, Class M1                             | CUSIP: 61746RCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173502 | PA      | $165507.81    | 0.00%             | 2033-03-25      | Floating      | 6.29%                 | No            |                  3 | On Loan: No      |
| NatWest Group plc                                                    | NatWest Group plc                                                                               | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  13000000 | PA      | $12669936.24  | 0.17%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-84, Class PZ                                                           | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56057 | PA      | $56066.57     | 0.00%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                         | GS Mortgage Securities Trust, Series 2013-GC12, Class B                                         | CUSIP: 36197XAQ7<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2579812.73   | 0.04%             | 2046-06-10      | Variable      | 3.78%                 | No            |                  3 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                                           | CUSIP: 04685A2J9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $2824905.64   | 0.04%             | 2024-06-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2933, Class EM                                                             | CUSIP: 31395MS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61495 | PA      | $61853.07     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2014-CR16, Class AM                                           | CUSIP: 12591VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9853000 | PA      | $9463979.91   | 0.13%             | 2047-04-10      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                                 | CUSIP: 00914AAD4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $3080571.98   | 0.04%             | 2023-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  11165000 | PA      | $9326152.08   | 0.13%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4089, Class AI                                                             | CUSIP: 3137ASWC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2503343 | PA      | $108371.73    | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-1A, Class C                                    | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6667716 | PA      | $6503643.26   | 0.09%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                                      | FREED ABS Trust, Series 2022-3FP, Class A                                                       | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739226 | PA      | $2723747.12   | 0.04%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Encina Equipment Finance LLC                                         | Encina Equipment Finance LLC, Series 2021-1A, Class A2                                          | CUSIP: 29253EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5620902 | PA      | $5496344.92   | 0.07%             | 2026-12-15      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3540, Class A                                                              | CUSIP: 31398EB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229545 | PA      | $227030.96    | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4346, Class A                                                              | CUSIP: 3137BAJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66805 | PA      | $64883.74     | 0.00%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 290, Class 200                                                            | CUSIP: 31283CAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413598 | PA      | $377220.77    | 0.01%             | 2032-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC - GNMA, Series 56, Class Z                                                                | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12013 | PA      | $12280.13     | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                      | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12660000 | PA      | $12789892.49  | 0.17%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1                 | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39839343 | PA      | $2609755.82   | 0.04%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3726, Class PA                                                             | CUSIP: 3137GAB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188637 | PA      | $183311.35    | 0.00%             | 2040-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140JBKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2055397 | PA      | $1965553.16   | 0.03%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class A                                          | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1428796 | PA      | $1231490.29   | 0.02%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class PE                                                           | CUSIP: 31395DTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319622 | PA      | $322432.68    | 0.00%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4217, Class UD                                                             | CUSIP: 3137B2KL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263693 | PA      | $247524.80    | 0.00%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-64, Class PF                                                           | CUSIP: 3136AEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566424 | PA      | $554546.81    | 0.01%             | 2043-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -904 | NC      | $-792945.27   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31403DTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32889 | PA      | $33044.90     | 0.00%             | 2036-08-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170115 | PA      | $178763.57    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4054, Class AE                                                             | CUSIP: 3137APVD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193033 | PA      | $183085.31    | 0.00%             | 2027-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                     | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16150000 | PA      | $15366159.75  | 0.21%             | 2037-02-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                              | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A                              | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  28967450 | PA      | $28516927.88  | 0.39%             | 2028-10-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860717 | PA      | $829536.14    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-75, Class NB                                                                  | CUSIP: 38376CMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75391 | PA      | $74545.62     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31385XB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1584435 | PA      | $1650973.20   | 0.02%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                             | PRET LLC, Series 2021-NPL6, Class A1                                                            | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11302208 | PA      | $10446301.64  | 0.14%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  3 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2020-C, Class D                                              | CUSIP: 12597TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17250000 | PA      | $16683280.58  | 0.23%             | 2026-11-16      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                      | NYMT Loan Trust, Series 2020-SP2, Class A1                                                      | CUSIP: 62955DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8699560 | PA      | $8339442.41   | 0.11%             | 2060-10-25      | Variable      | 2.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K49, Class B                                                  | CUSIP: 30287TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11350000 | PA      | $10754288.44  | 0.15%             | 2048-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4050, Class BA                                                             | CUSIP: 3137AQJA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42320 | PA      | $42221.68     | 0.00%             | 2041-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4338, Class A                                                              | CUSIP: 3137BB2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502349 | PA      | $467620.12    | 0.01%             | 2044-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94265 | PA      | $93394.65     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC                                    | Pawneee Equipment Receivables LLC, Series 2022-1, Class A3                                      | CUSIP: 70410DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6691000 | PA      | $6581845.70   | 0.09%             | 2028-02-15      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H07, Class FE                                                                 | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167592 | PA      | $166118.48    | 0.00%             | 2068-02-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2662, Class MT                                                             | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63786 | PA      | $63222.38     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4144, Class KD                                                             | CUSIP: 3137AWTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480113 | PA      | $425872.54    | 0.01%             | 2042-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class FY                                                             | CUSIP: 3133TSRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112573 | PA      | $110999.41    | 0.00%             | 2031-04-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-35, Class LP                                                           | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6100000 | PA      | $5718609.70   | 0.08%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                                       | ACC Auto Trust, Series 2021-A, Class A                                                          | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4863552 | PA      | $4787002.82   | 0.07%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                             | CUSIP: 63906YAB4<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  12455000 | PA      | $11492941.80  | 0.16%             | 2024-08-12      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 31286WSK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2574421 | PA      | $2465904.53   | 0.03%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4122, Class PA                                                             | CUSIP: 3137AV2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311382 | PA      | $285799.59    | 0.00%             | 2042-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL2, Class A1                                                            | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2716287 | PA      | $2455490.71   | 0.03%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5085000 | PA      | $4818045.33   | 0.07%             | 2024-01-22      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-16, Class KU                                                                  | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2092492 | PA      | $113100.23    | 0.00%             | 2037-04-20      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 359, Class 350                                                            | CUSIP: 3132J0SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1601344 | PA      | $1495388.35   | 0.02%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                                          | VOLT CI LLC, Series 2021-NP10, Class A1                                                         | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14850587 | PA      | $13606609.98  | 0.19%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-51, Class DW                                                           | CUSIP: 3136B5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771957 | PA      | $730776.68    | 0.01%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-27, Class PL                                                           | CUSIP: 3136A4CU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233358 | PA      | $219257.33    | 0.00%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                         | VMware, Inc.                                                                                    | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |  11550000 | PA      | $10754528.52  | 0.15%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2019-2A, Class C                                      | CUSIP: 36257NAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4544670 | PA      | $4520810.64   | 0.06%             | 2025-02-18      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4150, Class JE                                                             | CUSIP: 3137AY5J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    833716 | PA      | $768888.01    | 0.01%             | 2041-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H07, Class FG                                                                 | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418881 | PA      | $414561.04    | 0.01%             | 2067-02-20      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                         | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1424349 | PA      | $1199926.72   | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                          | Goldman Home Improvement Trust Issuer Trust, Series 2021-GRN2, Class A                          | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17639985 | PA      | $16224293.61  | 0.22%             | 2051-06-25      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2019-3A, Class D                                  | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15193894 | PA      | $15070369.20  | 0.21%             | 2024-11-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                            | Bank of Ireland Group plc                                                                       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |  11690000 | PA      | $11454111.35  | 0.16%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                   | Royalty Pharma plc                                                                              | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   7384000 | PA      | $7127038.50   | 0.10%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K44, Class C                                                  | CUSIP: 30292NAK9<br>LEI: 549300OFE1DNC7KO4K57 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1894329.60   | 0.03%             | 2048-01-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                           | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334151 | PA      | $313852.25    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-87, Class TB                                                           | CUSIP: 3136AQXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4035363 | PA      | $3947426.99   | 0.05%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                           | Upstart Pass-Through Trust, Series 2021-ST8, Class A                                            | CUSIP: 91683LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2704524 | PA      | $2507639.06   | 0.03%             | 2029-10-20      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  15685000 | PA      | $15380122.34  | 0.21%             | 2024-07-21      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915161 | PA      | $869750.11    | 0.01%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-94, Class K                                                            | CUSIP: 3136A8XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936925 | PA      | $812534.27    | 0.01%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3784, Class F                                                              | CUSIP: 3137A53Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40189 | PA      | $40182.23     | 0.00%             | 2023-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4103, Class HA                                                             | CUSIP: 3137AUA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177900 | PA      | $170006.12    | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2020-2, Class D                                  | CUSIP: 80285RAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6680000 | PA      | $6474842.50   | 0.09%             | 2026-09-15      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-64, Class PK                                                           | CUSIP: 3136A6PB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    938590 | PA      | $929846.03    | 0.01%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-55, Class PN                                                           | CUSIP: 31394EJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1925808 | PA      | $1964084.59   | 0.03%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                    | NatWest Group plc                                                                               | CUSIP: 780097BD2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7780000 | PA      | $7686189.07   | 0.10%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GHL6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13480000 | PA      | $13340659.67  | 0.18%             | 2024-07-23      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128QHTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124323 | PA      | $126367.83    | 0.00%             | 2037-03-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-58, Class FP                                                           | CUSIP: 3136AEJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    657646 | PA      | $645842.30    | 0.01%             | 2043-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K729, Class B                                                 | CUSIP: 30306HAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5600000 | PA      | $5344175.20   | 0.07%             | 2049-11-25      | Variable      | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2492, Class GH                                                             | CUSIP: 31392RWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186544 | PA      | $192576.04    | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 233290000 | PA      | $233175065.02 | 3.17%             | 2024-10-31      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-91, Class WH                                                                  | CUSIP: 38379XZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1145856 | PA      | $1043578.16   | 0.01%             | 2046-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL3, Class A1                                                            | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3726351 | PA      | $3328102.79   | 0.05%             | 2051-05-25      | Variable      | 1.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31402DNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45238 | PA      | $44361.58     | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2020-2A, Class C                                                    | CUSIP: 23343RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10038829 | PA      | $9923093.49   | 0.14%             | 2026-03-16      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  30000000 | PA      | $26576662.20  | 0.36%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138EJNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152345 | PA      | $151843.49    | 0.00%             | 2025-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-5, Class NA                                                                   | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3536364 | PA      | $3313633.22   | 0.05%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37489 | PA      | $37364.52     | 0.00%             | 2037-12-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1273584 | PA      | $1198705.16   | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198962 | PA      | $199170.26    | 0.00%             | 2038-04-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                             | Bristol-Myers Squibb Co.                                                                        | CUSIP: 110122CY2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1494860.81   | 0.02%             | 2023-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31371NDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118442 | PA      | $119819.55    | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-18, Class KY                                                           | CUSIP: 31397QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631833 | PA      | $599582.20    | 0.01%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-13, Class KD                                                           | CUSIP: 3136ACJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217782 | PA      | $203044.38    | 0.00%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-33, Class DT                                                           | CUSIP: 3136APCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568828 | PA      | $528001.65    | 0.01%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507403 | PA      | $534454.63    | 0.01%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class A                               | CUSIP: 82652NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    553715 | PA      | $519220.74    | 0.01%             | 2036-08-20      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128QJD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17562 | PA      | $17809.99     | 0.00%             | 2036-07-01      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-48, Class CN                                                           | CUSIP: 31397UFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45234 | PA      | $44420.23     | 0.00%             | 2026-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR3, Class A                                                           | CUSIP: 001807AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5682394 | PA      | $5086001.10   | 0.07%             | 2037-09-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                              | FHLMC STACR REMIC Trust, Series 2020-DNA1, Class M2                                             | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |   1065452 | PA      | $1053465.55   | 0.01%             | 2050-01-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2019-1A, Class B                                               | CUSIP: 67576TAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2697870 | PA      | $2688601.95   | 0.04%             | 2024-07-22      | Fixed         | 3.77%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-13, Class PA                                                           | CUSIP: 3136B02X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8338078 | PA      | $7477714.20   | 0.10%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                         | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   8440000 | PA      | $7537883.59   | 0.10%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust                              | Credito Real USA Auto Receivables Trust, Series 2021-1A, Class A                                | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2461845 | PA      | $2398655.72   | 0.03%             | 2027-02-16      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                              | Volkswagen Group of America Finance LLC                                                         | CUSIP: 928668AR3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   7520000 | PA      | $7436027.69   | 0.10%             | 2023-11-13      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2020-1, Class C                                            | CUSIP: 26208QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484025 | PA      | $483056.19    | 0.01%             | 2026-03-16      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| BRSP Ltd.                                                            | BRSP Ltd., Series 2021-FL1, Class A                                                             | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6000000 | PA      | $5789256.00   | 0.08%             | 2038-08-19      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FB                                                                 | CUSIP: 38376RBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9438860 | PA      | $9282549.39   | 0.13%             | 2065-05-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                       | Element Fleet Management Corp.                                                                  | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |  21754000 | PA      | $20564648.13  | 0.28%             | 2024-04-06      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3887, Class GM                                                             | CUSIP: 3137ADN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53804 | PA      | $52905.39     | 0.00%             | 2026-07-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4457, Class KZ                                                             | CUSIP: 3137BHWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8741512 | PA      | $7897102.02   | 0.11%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280CU1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  25530000 | PA      | $24440191.44  | 0.33%             | 2024-08-17      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2022-C, Class D                                              | CUSIP: 12664DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040000 | PA      | $4839256.30   | 0.07%             | 2030-04-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132G5A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130686 | PA      | $123983.50    | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4830, Class AP                                                             | CUSIP: 3137FHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1094235 | PA      | $1049601.43   | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR6, Class B                                           | CUSIP: 74333HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $14883361.50  | 0.20%             | 2038-07-17      | Fixed         | 1.75%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58890000 | PA      | $57498263.82  | 0.78%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202CFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1260 | PA      | $1259.08      | 0.00%             | 2025-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3523, Class MX                                                             | CUSIP: 31398CGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76344 | PA      | $75034.48     | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX                                                                   | BX, Series 2021-MFM1, Class A                                                                   | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2896919.40   | 0.04%             | 2034-01-15      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138EQVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1925007 | PA      | $1828512.56   | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oportun Funding XIII LLC                                             | Oportun Funding XIII LLC, Series 2019-A, Class A                                                | CUSIP: 68377FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7038997 | PA      | $6841260.55   | 0.09%             | 2025-08-08      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3822, Class ZG                                                             | CUSIP: 3137A8KF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6635086 | PA      | $6389585.47   | 0.09%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                                      | US Auto Funding, Series 2021-1A, Class A                                                        | CUSIP: 90355EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1317811 | PA      | $1313066.45   | 0.02%             | 2024-07-15      | Fixed         | 0.79%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2020-4, Class C                                              | CUSIP: 33845XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1090000 | PA      | $1036765.93   | 0.01%             | 2027-02-16      | Fixed         | 1.28%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 225778800 | PA      | $226607832.66 | 3.08%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                                      | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   2619000 | PA      | $2474514.33   | 0.03%             | 2025-10-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M8B60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3662362 | PA      | $3573397.91   | 0.05%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2014-UBS3, Class B                                            | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2854986.90   | 0.04%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  3 | On Loan: No      |
| Visio Trust                                                          | Visio Trust, Series 2019-2, Class A1                                                            | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2548786 | PA      | $2308830.78   | 0.03%             | 2054-11-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                    | CUSIP: 60687YBF5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  21195000 | PA      | $20593154.62  | 0.28%             | 2024-07-10      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2021-NQM2, Class A1                                                           | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164925 | PA      | $933248.27    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3005, Class ED                                                             | CUSIP: 31395WHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263973 | PA      | $261473.61    | 0.00%             | 2025-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Capital, Inc.                                          | Mitsubishi HC Capital, Inc.                                                                     | CUSIP: 60682LAC6<br>LEI: 353800MZ3QX9RLMH7B09 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $986390.00    | 0.01%             | 2023-09-19      | Fixed         | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16244 | PA      | $16056.47     | 0.00%             | 2036-12-01      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| DBJPM Mortgage Trust                                                 | DBJPM Mortgage Trust, Series 2017-C6, Class A3                                                  | CUSIP: 23312JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1870509 | PA      | $1797234.31   | 0.02%             | 2050-06-10      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A                               | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310505 | PA      | $291014.41    | 0.00%             | 2037-07-20      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G94-6, Class PJ                                                             | CUSIP: 31359HQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8460 | PA      | $8521.74      | 0.00%             | 2024-05-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class SA                                                                  | CUSIP: 38374XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2128921 | PA      | $43310.76     | 0.00%             | 2039-03-20      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152123 | PA      | $152372.70    | 0.00%             | 2036-03-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class C                                                 | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $8306339.00   | 0.11%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  34375000 | PA      | $34192175.19  | 0.47%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1250464 | PA      | $1159668.87   | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                                         | LL ABS Trust, Series 2021-1A, Class A                                                           | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6820070 | PA      | $6533387.15   | 0.09%             | 2029-05-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                 | CUSIP: 80281LAM7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5660000 | PA      | $4971246.15   | 0.07%             | 2026-08-21      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                 | Macquarie Group Ltd.                                                                            | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  15754000 | PA      | $13621600.32  | 0.19%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31416JEH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12493 | PA      | $12452.62     | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-126, Class CA                                                          | CUSIP: 3136AHRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294846 | PA      | $284181.22    | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-4A, Class C                                                    | CUSIP: 26253WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6549000 | PA      | $6033722.06   | 0.08%             | 2027-09-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-26, Class CA                                                           | CUSIP: 3136A37J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440159 | PA      | $421823.78    | 0.01%             | 2027-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-2A, Class D                                    | CUSIP: 30167LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10241889 | PA      | $10137519.16  | 0.14%             | 2025-03-17      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class LA                                                             | CUSIP: 3137BKD72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177121 | PA      | $172787.54    | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H29, Class FA                                                                 | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82291 | PA      | $81604.19     | 0.00%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-43, Class PZ                                                           | CUSIP: 3136AKKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1277561 | PA      | $1068652.76   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67546 | PA      | $67339.71     | 0.00%             | 2037-02-01      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 386, Class 20                                                              | CUSIP: 3136FFSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150364 | PA      | $27496.46     | 0.00%             | 2038-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class C                                      | CUSIP: 36263LAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8127000 | PA      | $7584348.02   | 0.10%             | 2026-09-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-72, Class AF                                                           | CUSIP: 3136AFCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59610 | PA      | $59220.53     | 0.00%             | 2042-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H29, Class FJ                                                                 | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3943400 | PA      | $3866565.97   | 0.05%             | 2065-11-20      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2021-3, Class C                                  | CUSIP: 80287EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19038000 | PA      | $18328074.88  | 0.25%             | 2027-09-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class C                                  | CUSIP: 17321RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2842351.50   | 0.04%             | 2046-11-10      | Variable      | 5.25%                 | No            |                  3 | On Loan: No      |
| KKR Industrial Portfolio Trust                                       | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class A                                       | CUSIP: 48254CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1457112 | PA      | $1398611.56   | 0.02%             | 2037-12-15      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-36, Class AM                                                                  | CUSIP: 38380VT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512963 | PA      | $491948.06    | 0.01%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M1                                 | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476333 | PA      | $471668.45    | 0.01%             | 2041-10-25      | Floating      | 4.27%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class KF                                                           | CUSIP: 31398PKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193877 | PA      | $193170.28    | 0.00%             | 2040-04-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-2A, Class B                                                    | CUSIP: 23345EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083000 | PA      | $1055464.18   | 0.01%             | 2027-01-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-73, Class PG                                                           | CUSIP: 3136AFTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850891 | PA      | $786968.71    | 0.01%             | 2042-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                          | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  24444000 | PA      | $22835534.93  | 0.31%             | 2025-01-12      | Variable      | 0.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4545, Class PG                                                             | CUSIP: 3137BMP75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668382 | PA      | $640297.05    | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2020-4A, Class D                                      | CUSIP: 36261EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9250000 | PA      | $8765231.55   | 0.12%             | 2026-10-15      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                               | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1104956 | PA      | $1008649.36   | 0.01%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2016-C37, Class A3                                | CUSIP: 95000PAC8<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |    642827 | PA      | $627295.44    | 0.01%             | 2049-12-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418B2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1996699 | PA      | $1923110.15   | 0.03%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128MB3J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149402 | PA      | $148866.59    | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31403DQQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7231 | PA      | $7445.87      | 0.00%             | 2025-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class NI                                                                  | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263522 | PA      | $39332.56     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3132CWNE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9471140 | PA      | $9198332.10   | 0.13%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                        | UniCredit SpA                                                                                   | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |  10000000 | PA      | $9997320.00   | 0.14%             | 2023-12-04      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K45, Class B                                                  | CUSIP: 30292PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1246000 | PA      | $1190004.64   | 0.02%             | 2048-04-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-91, Class BR                                                           | CUSIP: 31394BYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62266 | PA      | $63481.67     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                           | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3                           | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895243 | PA      | $3745103.57   | 0.05%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138E5CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49655 | PA      | $48024.72     | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2019-A, Class A                                                      | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2093288 | PA      | $1968566.22   | 0.03%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138WTZT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6787585 | PA      | $6615549.95   | 0.09%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2022-1A, Class A1                                       | CUSIP: 69701CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11490543 | PA      | $11302787.64  | 0.15%             | 2030-04-15      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3884, Class BL                                                             | CUSIP: 3137ABUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5212887 | PA      | $4977782.41   | 0.07%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-4, Class A1                                                               | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5983097 | PA      | $5311566.11   | 0.07%             | 2026-04-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                                          | Capital One Financial Corp.                                                                     | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  35640000 | PA      | $34004612.27  | 0.46%             | 2024-12-06      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36225ADU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       740 | PA      | $748.69       | 0.00%             | 2025-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H23, Class WA                                                                 | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204894 | PA      | $202995.57    | 0.00%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                           | Microchip Technology, Inc.                                                                      | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |  21060000 | PA      | $19926365.05  | 0.27%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-H11, Class FA                                                                 | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376855 | PA      | $373329.19    | 0.01%             | 2061-03-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-94, Class BZ                                                           | CUSIP: 31392GTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946289 | PA      | $960570.39    | 0.01%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2682, Class JG                                                             | CUSIP: 31394KJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118569 | PA      | $117907.75    | 0.00%             | 2023-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 334, Class 9                                                               | CUSIP: 3136FAA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297225 | PA      | $45554.51     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3909, Class HG                                                             | CUSIP: 3137AEHD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134992 | PA      | $132738.04    | 0.00%             | 2026-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-64, Class PL                                                           | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58237 | PA      | $58898.98     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DJW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2248861 | PA      | $1975446.63   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4574, Class YH                                                             | CUSIP: 3137BNQP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294735 | PA      | $264615.63    | 0.00%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-17, Class KA                                                           | CUSIP: 3136B4CV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347574 | PA      | $330130.71    | 0.00%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4283614.25   | 0.06%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-56, Class DC                                                           | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245281 | PA      | $247697.43    | 0.00%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31418MMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1864 | PA      | $1856.60      | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR4, Class A                                                           | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4130000 | PA      | $3648225.18   | 0.05%             | 2037-11-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2602, Class FH                                                             | CUSIP: 31393PHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174096 | PA      | $172056.53    | 0.00%             | 2033-04-15      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138ENYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40483 | PA      | $40579.79     | 0.00%             | 2029-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                      | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A3                                       | CUSIP: 126281AY0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |   2403394 | PA      | $2293441.72   | 0.03%             | 2050-04-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR3, Class B                                                           | CUSIP: 001807AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9780000 | PA      | $8760693.19   | 0.12%             | 2037-09-17      | Fixed         | 1.81%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132FNAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1053199 | PA      | $999231.57    | 0.01%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-96, Class MA                                                           | CUSIP: 3136B0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465900 | PA      | $428597.27    | 0.01%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-38, Class B                                                            | CUSIP: 31398PDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45902 | PA      | $45264.31     | 0.00%             | 2025-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                               | Crossroads Asset Trust, Series 2021-A, Class A2                                                 | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1647312 | PA      | $1631959.33   | 0.02%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78284 | PA      | $79550.16     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138WHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3572281 | PA      | $3390232.79   | 0.05%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class XL                                                                 | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1933652 | PA      | $115159.05    | 0.00%             | 2037-06-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class SW                                                          | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2309521 | PA      | $167317.65    | 0.00%             | 2040-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 31286REQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542760 | PA      | $519875.40    | 0.01%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2693, Class Z                                                              | CUSIP: 31394KH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143853 | PA      | $146040.50    | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                 | American Tower Corp.                                                                            | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   3140000 | PA      | $3101086.58   | 0.04%             | 2023-06-15      | Fixed         | 3.00%                 | 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        | 253717099 | NS      | $253717098.97 | 3.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Veros Auto Receivables Trust                                         | Veros Auto Receivables Trust, Series 2021-1, Class A                                            | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2604443 | PA      | $2559624.11   | 0.03%             | 2026-10-15      | Fixed         | 0.92%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H19, Class FC                                                                 | CUSIP: 38375B5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1608670 | PA      | $1599356.78   | 0.02%             | 2063-08-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-56, Class Z                                                            | CUSIP: 3136AKYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6640781 | PA      | $6071841.44   | 0.08%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H14, Class FK                                                                 | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208810 | PA      | $207352.98    | 0.00%             | 2062-07-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 334, Class 13                                                              | CUSIP: 3136FAA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115878 | PA      | $16997.38     | 0.00%             | 2033-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3662, Class ZB                                                             | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142656 | PA      | $148644.28    | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2021-2, Class C                                            | CUSIP: 262104AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2875000 | PA      | $2749194.31   | 0.04%             | 2027-10-15      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K44, Class B                                                  | CUSIP: 30292NAG8<br>LEI: 549300OFE1DNC7KO4K57 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5710488.00   | 0.08%             | 2048-01-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                                           | Alliant Energy Finance LLC                                                                      | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $3990547.23   | 0.05%             | 2026-03-15      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-165, Class SN                                                          | CUSIP: 31359D4Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        73 | PA      | $73.49        | 0.00%             | 2023-09-25      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4740, Class JA                                                             | CUSIP: 3137FCCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1719793 | PA      | $1552508.92   | 0.02%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                          | AREIT Trust, Series 2021-CRE5, Class C                                                          | CUSIP: 04002PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   8292000 | PA      | $7834388.57   | 0.11%             | 2038-11-17      | Floating      | 6.16%                 | Yes           |                  3 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7100000 | PA      | $6926276.56   | 0.09%             | 2024-05-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18, Class B                    | CUSIP: 61763XAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5250000 | PA      | $4950264.90   | 0.07%             | 2047-10-15      | Variable      | 4.58%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833936 | PA      | $702684.91    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2686, Class GC                                                             | CUSIP: 31394KM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139792 | PA      | $139159.17    | 0.00%             | 2023-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables VIII LLC                          | Amur Equipment Finance Receivables VIII LLC, Series 2020-1A, Class A2                           | CUSIP: 03237PAG8<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |    157281 | PA      | $156633.33    | 0.00%             | 2025-08-20      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                            | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2365676 | PA      | $2178918.67   | 0.03%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-134, Class DJ                                                          | CUSIP: 31398SMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5897 | PA      | $5877.51      | 0.00%             | 2039-03-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-H26, Class LF                                                                 | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205276 | PA      | $203152.72    | 0.00%             | 2058-08-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                       | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class B                                       | CUSIP: 48254CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2138194.80   | 0.03%             | 2037-12-15      | Floating      | 4.68%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-34, Class UP                                                           | CUSIP: 3136AN4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735918 | PA      | $692823.96    | 0.01%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XV Ltd.                                                    | Magnetite Ltd., Series 2015-15A, Class AR                                                       | CUSIP: 55953MAN2<br>LEI: 549300B3V0K3DX0M2K31 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $980711.00    | 0.01%             | 2031-07-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-61, Class B                                                            | CUSIP: 31397UXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249022 | PA      | $241560.11    | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GJG5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  15110000 | PA      | $13841198.34  | 0.19%             | 2025-09-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2898, Class PG                                                             | CUSIP: 31395K5H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648292 | PA      | $649079.02    | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables IX LLC                            | Amur Equipment Finance Receivables IX LLC, Series 2021-1A, Class A2                             | CUSIP: 03237KAB0<br>LEI: 549300INEWFFGID70G60 | Long             | ABS-O            | CORP              | US        |   7952124 | PA      | $7630677.31   | 0.10%             | 2026-11-20      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 53944YAL7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5850000 | PA      | $5631660.86   | 0.08%             | 2025-07-09      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class C                                 | CUSIP: 94989KBB8<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1136757.88   | 0.02%             | 2048-06-15      | Variable      | 4.36%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3939, Class BZ                                                             | CUSIP: 3137AGEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2413122 | PA      | $2381122.05   | 0.03%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1089670 | PA      | $957073.27    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483051 | PA      | $509305.81    | 0.01%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2022-3A, Class C                                                    | CUSIP: 23345RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7478000 | PA      | $7496191.73   | 0.10%             | 2028-07-17      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2021-1, Class D                            | CUSIP: 02528BAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8750000 | PA      | $8256276.00   | 0.11%             | 2027-03-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                           | Upstart Pass-Through Trust, Series 2021-ST9, Class A                                            | CUSIP: 91683MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5876790 | PA      | $5529549.94   | 0.08%             | 2029-11-20      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-58, Class B                                                            | CUSIP: 31396QQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883707 | PA      | $876861.42    | 0.01%             | 2029-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4094, Class BF                                                             | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374355 | PA      | $372334.15    | 0.01%             | 2032-08-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2003-J3, Class 2A1                                               | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6739 | PA      | $6528.38      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H24, Class FA                                                                 | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5347602 | PA      | $5252461.16   | 0.07%             | 2065-09-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-104, Class MA                                                                 | CUSIP: 38379YRU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297565 | PA      | $288092.97    | 0.00%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2013-K32, Class C                                                  | CUSIP: 30291NAG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2935078.80   | 0.04%             | 2046-10-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class KS                                                                  | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882635 | PA      | $27761.26     | 0.00%             | 2039-03-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHY80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141582 | PA      | $140426.90    | 0.00%             | 2037-03-01      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2022-3, Class D                                              | CUSIP: 33845PAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6666000 | PA      | $6345118.76   | 0.09%             | 2028-07-17      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4097, Class HJ                                                             | CUSIP: 3137ATKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614615 | PA      | $576172.35    | 0.01%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                             | Cooperatieve Rabobank UA                                                                        | CUSIP: 74977RDJ0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |  10550000 | PA      | $9294284.77   | 0.13%             | 2026-09-24      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-3, Class A                                            | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6108178 | PA      | $5927603.49   | 0.08%             | 2031-07-20      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3864, Class PG                                                             | CUSIP: 3137ABEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40876 | PA      | $40036.02     | 0.00%             | 2026-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                         | CUSIP: 3133N3WA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5442691 | PA      | $4767497.11   | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        | 148015000 | PA      | $146070575.79 | 1.99%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                             | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343182 | PA      | $19828.77     | 0.00%             | 2039-09-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-81, Class LA                                                           | CUSIP: 3136B8GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398094 | PA      | $338866.40    | 0.00%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4478, Class PC                                                             | CUSIP: 3137BJ6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972988 | PA      | $839715.94    | 0.01%             | 2045-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 356, Class 16                                                              | CUSIP: 3136FCQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94145 | PA      | $14965.05     | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2018-3A, Class E                                    | CUSIP: 30166PAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300000 | PA      | $9277797.18   | 0.13%             | 2024-08-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4745, Class EC                                                             | CUSIP: 3137FDBS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715308 | PA      | $1644980.14   | 0.02%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                       | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M1                      | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    679896 | PA      | $677876.54    | 0.01%             | 2033-08-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                  | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18126000 | PA      | $15896822.11  | 0.22%             | 2026-12-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3786, Class NA                                                             | CUSIP: 3137A5UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74967 | PA      | $74135.03     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C                                      | CUSIP: 36261EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5166320 | PA      | $5066028.06   | 0.07%             | 2025-11-17      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2018-3A, Class A                               | CUSIP: 82653GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377322 | PA      | $370743.89    | 0.01%             | 2035-09-20      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-104, Class KY                                                          | CUSIP: 3136A1DG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151285 | PA      | $150106.32    | 0.00%             | 2039-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  12178000 | PA      | $10719541.41  | 0.15%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                            | FHF Trust, Series 2021-2A, Class A                                                              | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12596249 | PA      | $11929330.66  | 0.16%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                                       | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |  12000000 | PA      | $11505365.40  | 0.16%             | 2024-07-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                                | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  20280000 | PA      | $19359171.19  | 0.26%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K723, Class C                                                 | CUSIP: 30295MAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2617915.41   | 0.04%             | 2023-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3983 | PA      | $4076.37      | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291761 | PA      | $299592.21    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31409GSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17126 | PA      | $17204.17     | 0.00%             | 2036-12-01      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66139 | PA      | $63962.51     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2168190 | PA      | $2264592.58   | 0.03%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2020-1A, Class A                                               | CUSIP: 67592LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1834199 | PA      | $1812404.89   | 0.02%             | 2025-02-20      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2020-4, Class D                            | CUSIP: 02530QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4790000 | PA      | $4574316.36   | 0.06%             | 2026-12-14      | Fixed         | 1.77%                 | Yes           |                  2 | On Loan: No      |
| LMREC LLC                                                            | LMREC LLC, Series 2021-CRE4, Class A                                                            | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8041983 | PA      | $7855771.99   | 0.11%             | 2037-04-22      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $565450.78    | 0.01%             | 2025-10-30      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                | Dominion Energy, Inc., Series D                                                                 | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |  21235000 | PA      | $21191808.86  | 0.29%             | 2023-09-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H14, Class FG                                                                 | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85448 | PA      | $84573.36     | 0.00%             | 2063-05-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1905777 | PA      | $1961781.16   | 0.03%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  15272000 | PA      | $13723103.07  | 0.19%             | 2026-04-18      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845175 | PA      | $890012.97    | 0.01%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                       | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A                        | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3425000 | PA      | $3310745.43   | 0.05%             | 2036-11-15      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2020-HB4, Class A                                                              | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2455257 | PA      | $2372097.45   | 0.03%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-4A, Class D                                    | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11109594 | PA      | $10902488.50  | 0.15%             | 2025-09-15      | Fixed         | 2.58%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138EKRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379247 | PA      | $375740.16    | 0.01%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                                     | NMEF Funding LLC, Series 2021-A, Class A2                                                       | CUSIP: 62919TAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5116368 | PA      | $5030460.76   | 0.07%             | 2027-12-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-2A, Class D                                  | CUSIP: 96042PAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19100000 | PA      | $18483434.81  | 0.25%             | 2026-01-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2711, Class FC                                                             | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    832706 | PA      | $837467.73    | 0.01%             | 2033-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150291 | PA      | $157723.03    | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                    | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  12500000 | PA      | $12057496.75  | 0.16%             | 2025-05-07      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2022-HB9, Class A                                                              | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6843860 | PA      | $6174958.62   | 0.08%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4088, Class BP                                                             | CUSIP: 3137ASP32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3434534 | PA      | $3083149.23   | 0.04%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2346491 | PA      | $2114009.88   | 0.03%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                  | CUSIP: 09659W2D5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  22689000 | PA      | $21805502.14  | 0.30%             | 2025-01-09      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-60, Class PD                                                           | CUSIP: 3136AEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596685 | PA      | $541646.89    | 0.01%             | 2042-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACC Trust                                                            | ACC Trust, Series 2022-1, Class B                                                               | CUSIP: 00091HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5503000 | PA      | $5335133.19   | 0.07%             | 2025-02-20      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class B                                             | CUSIP: 55348UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5434876.20   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  3 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A                               | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1796806 | PA      | $1659733.11   | 0.02%             | 2037-11-20      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL4, Class A1                                                            | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9152993 | PA      | $8220236.64   | 0.11%             | 2051-08-25      | Variable      | 1.87%                 | Yes           |                  3 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                            | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C                              | CUSIP: 80281MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2984000 | PA      | $2951993.32   | 0.04%             | 2026-02-17      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2184061 | PA      | $2141053.34   | 0.03%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-11, Class A1                                                              | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2451069 | PA      | $2213125.25   | 0.03%             | 2026-11-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    115000 | PA      | $109640.82    | 0.00%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4158, Class TC                                                             | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255057 | PA      | $229159.14    | 0.00%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2020-4, Class A1                                                               | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8655039 | PA      | $8292808.44   | 0.11%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4316, Class DZ                                                             | CUSIP: 3137B8ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3241273 | PA      | $2895128.40   | 0.04%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31410G3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112829 | PA      | $116260.79    | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-2A, Class A                                                 | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4888000 | PA      | $4051216.44   | 0.06%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3769, Class ZC                                                             | CUSIP: 3137A3YW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1193252 | PA      | $1178696.86   | 0.02%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3429, Class S                                                              | CUSIP: 31397RMT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555702 | PA      | $56920.01     | 0.00%             | 2038-03-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2021-A, Class C                                              | CUSIP: 12656NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6861646 | PA      | $6759549.77   | 0.09%             | 2026-09-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3779, Class LB                                                             | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    339477 | PA      | $333356.74    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  21380000 | PA      | $20743153.08  | 0.28%             | 2026-08-11      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GZT4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8685000 | PA      | $8381062.52   | 0.11%             | 2027-06-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36181BRV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520858 | PA      | $494924.18    | 0.01%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                                | Quanta Services, Inc.                                                                           | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  16200000 | PA      | $14835451.48  | 0.20%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3632, Class PK                                                             | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324639 | PA      | $323299.72    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                 | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14508 | PA      | $13109.25     | 0.00%             | 2033-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-72, Class LY                                                           | CUSIP: 3136AFCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553742 | PA      | $536934.17    | 0.01%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H01, Class FT                                                                 | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1949127 | PA      | $1934543.47   | 0.03%             | 2068-10-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138EGHF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1230 | PA      | $1226.53      | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                              | Lendingpoint Asset Securitization Trust, Series 2021-A, Class A                                 | CUSIP: 52607FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    887596 | PA      | $885943.24    | 0.01%             | 2028-12-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4143, Class AE                                                             | CUSIP: 3137AX6R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1795669 | PA      | $1643027.35   | 0.02%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2021-HB7, Class A                                                              | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6662173 | PA      | $6225962.88   | 0.08%             | 2031-10-27      | Variable      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2020-2A, Class C                                    | CUSIP: 30167YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3924834 | PA      | $3901348.41   | 0.05%             | 2025-05-15      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-61, Class BA                                                           | CUSIP: 3136AETK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1746141 | PA      | $1633942.87   | 0.02%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3101, Class UZ                                                             | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181523 | PA      | $190713.21    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-26, Class ZV                                                           | CUSIP: 3136ADXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11215339 | PA      | $10315622.41  | 0.14%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DPP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494199 | PA      | $432834.83    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128CUJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12053 | PA      | $12333.03     | 0.00%             | 2024-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-155, Class A                                                                  | CUSIP: 38378ARH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64830 | PA      | $62906.52     | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566618 | PA      | $1641380.34   | 0.02%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                               | Velocity Commercial Capital Loan Trust, Series 2021-2, Class A                                  | CUSIP: 92259MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10541092 | PA      | $8735422.03   | 0.12%             | 2051-08-25      | Variable      | 1.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3706, Class P                                                              | CUSIP: 3137A17D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3280085 | PA      | $3062875.19   | 0.04%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416XHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834926 | PA      | $860939.97    | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-7, Class FB                                                            | CUSIP: 31392HY31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209845 | PA      | $209969.66    | 0.00%             | 2033-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3140QBWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5605482 | PA      | $5216315.99   | 0.07%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                             | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                               | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576484 | PA      | $1393684.76   | 0.02%             | 2065-05-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 295007500 | PA      | $286479939.45 | 3.90%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31416BXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9188 | PA      | $9142.37      | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418BAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684774 | PA      | $649919.36    | 0.01%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                      | Republic Finance Issuance Trust, Series 2020-A, Class A                                         | CUSIP: 76042EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7592000 | PA      | $7154886.04   | 0.10%             | 2030-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3318, Class HF                                                             | CUSIP: 31397HDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115239 | PA      | $112232.77    | 0.00%             | 2037-05-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-3, Class BL                                                            | CUSIP: 3136AH2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56200 | PA      | $54722.20     | 0.00%             | 2043-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-128, Class VF                                                          | CUSIP: 3136A9QJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475358 | PA      | $468748.81    | 0.01%             | 2042-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                                | Symphony CLO Ltd., Series 2018-19A, Class A                                                     | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2824136 | PA      | $2775699.24   | 0.04%             | 2031-04-16      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-123, Class BP                                                          | CUSIP: 3136A2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3682353 | PA      | $3331117.79   | 0.05%             | 2041-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350822 | PA      | $354985.35    | 0.00%             | 2037-11-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                | Gray Oak Pipeline LLC                                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12825000 | PA      | $11635456.37  | 0.16%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654015 | PA      | $663876.09    | 0.01%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                  | Triton Container International Ltd.                                                             | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   6560000 | PA      | $5660624.00   | 0.08%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2021-N4, Class B                                         | CUSIP: 14687HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4847863 | PA      | $4662335.46   | 0.06%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-84, Class LA                                                           | CUSIP: 3136AUKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953635 | PA      | $890622.31    | 0.01%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2021-1, Class C                                              | CUSIP: 33843WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $9891814.00   | 0.13%             | 2027-03-15      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                                        | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class A                                         | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2887648 | PA      | $2802098.65   | 0.04%             | 2037-12-18      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58, Class ST                                                           | CUSIP: 31395NM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355251 | PA      | $27982.97     | 0.00%             | 2036-07-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2500, Class FD                                                             | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135528 | PA      | $134525.08    | 0.00%             | 2032-03-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-38, Class FK                                                           | CUSIP: 31394DTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379935 | PA      | $375060.35    | 0.01%             | 2035-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-15, Class NZ                                                           | CUSIP: 3136B1JF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8179343 | PA      | $7450838.81   | 0.10%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4703, Class KZ                                                             | CUSIP: 3137F26G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6549773 | PA      | $6092333.19   | 0.08%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  13440000 | PA      | $12306909.75  | 0.17%             | 2026-01-21      | Variable      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A6                                 | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    120308 | PA      | $106717.72    | 0.00%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4664, Class PH                                                             | CUSIP: 3137BWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1045420 | PA      | $1003683.40   | 0.01%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3859, Class JB                                                             | CUSIP: 3137AAM26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331419 | PA      | $333917.90    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-96, Class YA                                                           | CUSIP: 3136AGAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201175 | PA      | $198080.10    | 0.00%             | 2038-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H05, Class FB                                                                 | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56467 | PA      | $55035.37     | 0.00%             | 2062-02-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4015, Class GL                                                             | CUSIP: 3137ANCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83623 | PA      | $79928.86     | 0.00%             | 2027-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-3, Class KA                                                            | CUSIP: 31397QSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204949 | PA      | $202642.71    | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4558, Class DA                                                             | CUSIP: 3137BNBW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349131 | PA      | $344064.45    | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                              | Mercedes-Benz Finance North America LLC                                                         | CUSIP: 233851DX9<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   6150000 | PA      | $5927282.61   | 0.08%             | 2024-06-14      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                                           | Dryden Senior Loan Fund, Series 2017-49A, Class AR                                              | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    732771 | PA      | $721512.18    | 0.01%             | 2030-07-18      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-58, Class FA                                                           | CUSIP: 31398RYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333674 | PA      | $331317.61    | 0.00%             | 2040-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1716129 | PA      | $1625069.95   | 0.02%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class PB                                                           | CUSIP: 3136B4MJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301751 | PA      | $274919.22    | 0.00%             | 2048-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                       | Pagaya AI Debt Selection Trust, Series 2021-HG1, Class A                                        | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5875564 | PA      | $5525729.25   | 0.08%             | 2029-01-16      | Fixed         | 1.22%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                                 | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1643330.50   | 0.02%             | 2042-01-25      | Floating      | 6.52%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2021-HB5, Class M2                                                             | CUSIP: 12526PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1843283.80   | 0.03%             | 2031-02-25      | Variable      | 1.85%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4265, Class FD                                                             | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270417 | PA      | $266550.07    | 0.00%             | 2035-01-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108777 | PA      | $107843.40    | 0.00%             | 2036-11-01      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4304, Class DW                                                             | CUSIP: 3137B7S42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $942593.00    | 0.01%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                                | Upstart Structured Pass-Through Trust, Series 2022-4A, Class A                                  | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4928114 | PA      | $4894392.97   | 0.07%             | 2030-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-H03, Class FA                                                                 | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2469170 | PA      | $2449974.58   | 0.03%             | 2060-03-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                            | BXMT Ltd., Series 2021-FL4, Class A                                                             | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   6000000 | PA      | $5884872.00   | 0.08%             | 2038-05-15      | Floating      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713038 | PA      | $749421.26    | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pawnee Equipment Receivables LLC                                     | Pawnee Equipment Receivables LLC, Series 2020-1, Class C                                        | CUSIP: 70410LAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2852447.40   | 0.04%             | 2026-02-17      | Fixed         | 2.24%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381370 | PA      | $385763.44    | 0.01%             | 2037-07-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-11, Class PH                                                           | CUSIP: 3136AVTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215889 | PA      | $189995.90    | 0.00%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2019-3A, Class C                                      | CUSIP: 36258AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10903957 | PA      | $10777249.69  | 0.15%             | 2025-05-15      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Southern California Gas Co.                                          | Southern California Gas Co.                                                                     | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |  12565000 | PA      | $12533843.83  | 0.17%             | 2023-09-14      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                              | Alexander Funding Trust                                                                         | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  32710000 | PA      | $30841668.91  | 0.42%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3447, Class DB                                                             | CUSIP: 31397TQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1587144 | PA      | $1559441.37   | 0.02%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128PUJ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37822 | PA      | $37954.02     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class A                                                        | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1573865 | PA      | $1423310.66   | 0.02%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-46, Class KI                                                           | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4313733 | PA      | $186603.47    | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2020-1A, Class A                                               | CUSIP: 35041KAA0<br>LEI: 549300QVJKB4ZVR88F06 | Long             | ABS-O            | CORP              | US        |   3304392 | PA      | $3161230.27   | 0.04%             | 2040-07-16      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                               | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117414 | PA      | $115169.05    | 0.00%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                    | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8160000 | PA      | $7908986.89   | 0.11%             | 2024-07-30      | Variable      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C13, Class A3                   | CUSIP: 61763BAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889229 | PA      | $872366.89    | 0.01%             | 2046-11-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3826, Class BK                                                             | CUSIP: 3137A7KX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250176 | PA      | $243450.73    | 0.00%             | 2026-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-145, Class PA                                                                 | CUSIP: 38382AWJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222218 | PA      | $211540.67    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-15, Class PE                                                           | CUSIP: 3136AVMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270936 | PA      | $1213416.58   | 0.02%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2019-D, Class D                                              | CUSIP: 12655KAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9659084 | PA      | $9562634.99   | 0.13%             | 2025-09-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2020-SFR1, Class A                                                 | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5957380 | PA      | $5315477.95   | 0.07%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69392 | PA      | $68367.39     | 0.00%             | 2036-08-01      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777204 | PA      | $770856.84    | 0.01%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANTLR Mortgage Trust                                                 | ANTLR Mortgage Trust, Series 2021-RTL1, Class A1                                                | CUSIP: 00201QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11384000 | PA      | $10772679.20  | 0.15%             | 2024-11-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| ACC Trust                                                            | ACC Trust, Series 2022-1, Class A                                                               | CUSIP: 00091HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683267 | PA      | $676787.70    | 0.01%             | 2024-09-20      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance Receivables Backed | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1, Class AT1 | CUSIP: 62942QCR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15556000 | PA      | $14926848.47  | 0.20%             | 2053-08-15      | Fixed         | 1.43%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-6, Class A1                                                               | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13912678 | PA      | $12448939.21  | 0.17%             | 2026-07-25      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3721, Class DG                                                             | CUSIP: 3137GACW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186008 | PA      | $175097.89    | 0.00%             | 2030-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2020-3, Class D                                              | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4665000 | PA      | $4264328.28   | 0.06%             | 2026-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H19, Class FA                                                                 | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1445328 | PA      | $1433647.58   | 0.02%             | 2067-08-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128MDLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49232 | PA      | $49408.68     | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4941, Class NP                                                             | CUSIP: 3137FQTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862676 | PA      | $766328.15    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128Q3Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    439244 | PA      | $433222.26    | 0.01%             | 2035-10-01      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                    | CIFC Funding Ltd., Series 2017-1A, Class AR                                                     | CUSIP: 12551AAL9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |   3468368 | PA      | $3426185.81   | 0.05%             | 2029-04-23      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-93, Class PJ                                                           | CUSIP: 3136AGLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716586 | PA      | $684708.85    | 0.01%             | 2042-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-1, Class A1                                                               | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9355237 | PA      | $8673700.61   | 0.12%             | 2026-01-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                               | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1                              | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6692305 | PA      | $6043082.21   | 0.08%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                      | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   8260000 | PA      | $7287489.08   | 0.10%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2020-A, Class D                                              | CUSIP: 12597JAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857590 | PA      | $848882.43    | 0.01%             | 2025-12-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                            | Santander Consumer Auto Receivables Trust, Series 2021-AA, Class C                              | CUSIP: 80282YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1353678.90   | 0.02%             | 2026-11-16      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-39, Class FT                                                           | CUSIP: 31398PT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    643344 | PA      | $648010.45    | 0.01%             | 2035-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                         | CUSIP: 36225CE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       306 | PA      | $298.23       | 0.00%             | 2028-01-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class B                               | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2603280 | PA      | $2618650.31   | 0.04%             | 2039-07-20      | Fixed         | 6.32%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4888 | PA      | $4759.65      | 0.00%             | 2027-06-01      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class D                                         | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2355959.75   | 0.03%             | 2038-04-15      | Floating      | 5.48%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4142, Class PG                                                             | CUSIP: 3137AX5T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74143 | PA      | $70085.50     | 0.00%             | 2032-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3936, Class AB                                                             | CUSIP: 3137AH2W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289633 | PA      | $280309.37    | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31411KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410623 | PA      | $402226.18    | 0.01%             | 2037-03-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H05, Class FB                                                                 | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406462 | PA      | $404213.57    | 0.01%             | 2063-12-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-18, Class TG                                                           | CUSIP: 3136ACA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410899 | PA      | $386096.09    | 0.01%             | 2033-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2021-RTL1, Class A1                                                | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5654332.80   | 0.08%             | 2026-09-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-23, Class BP                                                                  | CUSIP: 38378MBA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252404 | PA      | $247269.15    | 0.00%             | 2037-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K730, Class C                                                 | CUSIP: 30296GAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1620000 | PA      | $1528019.48   | 0.02%             | 2050-02-25      | Variable      | 3.92%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                      | CUSIP: 00774MAG0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4295000 | PA      | $4121462.67   | 0.06%             | 2025-10-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2976, Class HZ                                                             | CUSIP: 31395TUK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236077 | PA      | $229673.78    | 0.00%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                       | NiSource, Inc.                                                                                  | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   7710000 | PA      | $6952249.56   | 0.09%             | 2025-08-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                   | British Airways Pass-Through Trust, Series 2013-1, Class A                                      | CUSIP: 11042AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1019083 | PA      | $988530.03    | 0.01%             | 2024-06-20      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 277003900 | PA      | $272545868.48 | 3.71%             | 2025-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31412MDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274027 | PA      | $287247.18    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2021-HB5, Class A                                                              | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5424637 | PA      | $5208202.77   | 0.07%             | 2031-02-25      | Variable      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2019-2A, Class D                                                    | CUSIP: 26252TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5746151 | PA      | $5710942.83   | 0.08%             | 2025-02-18      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding                              | Equitable Financial Life Global Funding                                                         | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  13395000 | PA      | $11801824.82  | 0.16%             | 2026-01-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-10, Class UB                                                           | CUSIP: 3136ACAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1127818 | PA      | $971747.10    | 0.01%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K50, Class C                                                  | CUSIP: 30293WAG7<br>LEI: 549300R3J0I74BM2LZ86 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1868075.20   | 0.03%             | 2048-10-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                                      | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |  13100000 | PA      | $11427409.82  | 0.16%             | 2026-01-30      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H14, Class FB                                                                 | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151775 | PA      | $150544.16    | 0.00%             | 2065-05-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  45000000 | PA      | $43516121.85  | 0.59%             | 2025-04-24      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4505, Class P                                                              | CUSIP: 3137BKWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1321255 | PA      | $1276147.57   | 0.02%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3132CWZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1145449 | PA      | $1033677.21   | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-96, Class WP                                                                  | CUSIP: 38378HCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2491099 | PA      | $2653356.09   | 0.04%             | 2042-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H02, Class FB                                                                 | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1469541 | PA      | $1461552.99   | 0.02%             | 2063-12-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FCI Funding LLC                                                      | FCI Funding LLC, Series 2021-1A, Class A                                                        | CUSIP: 30260GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4157143 | PA      | $4054217.16   | 0.06%             | 2033-04-15      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3140X64J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8552293 | PA      | $8249184.00   | 0.11%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                                             | PFP Ltd., Series 2021-7, Class A                                                                | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   3862778 | PA      | $3758428.44   | 0.05%             | 2038-04-14      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H10, Class FH                                                                 | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1172172 | PA      | $1146723.78   | 0.02%             | 2065-04-20      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-88, Class ZC                                                           | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2019154 | PA      | $2017974.39   | 0.03%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K43, Class C                                                  | CUSIP: 30286XAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5672353.20   | 0.08%             | 2048-02-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330392 | PA      | $325830.83    | 0.00%             | 2037-01-01      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-85, Class HA                                                           | CUSIP: 3136AYTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1494109 | PA      | $1380534.01   | 0.02%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                            | KREF Ltd., Series 2021-FL2, Class A                                                             | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   7186500 | PA      | $6937969.27   | 0.09%             | 2039-02-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2727, Class PM                                                             | CUSIP: 31394NN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817446 | PA      | $810884.47    | 0.01%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-31, Class NL                                                           | CUSIP: 3136ADFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416158 | PA      | $407014.23    | 0.01%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2929, Class PG                                                             | CUSIP: 31395MBH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77936 | PA      | $78110.80     | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31417CN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327290 | PA      | $1261407.94   | 0.02%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Galaxy XIX CLO Ltd.                                                  | Galaxy CLO Ltd., Series 2015-19A, Class A1RR                                                    | CUSIP: 36319QBN1<br>LEI: 5493000B2531UL3WQV87 | Long             | ABS-CBDO         | CORP              | KY        |   5983432 | PA      | $5889186.64   | 0.08%             | 2030-07-24      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31418MQZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.11        | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Canadian Pacer Auto Receivables Trust                                | Canadian Pacer Auto Receivables Trust, Series 2020-1A, Class A4                                 | CUSIP: 13645YAE9<br>LEI: 549300G7ER2PTT19ZV22 | Long             | ABS-O            | CORP              | CA        |   6067000 | PA      | $5880096.96   | 0.08%             | 2025-03-19      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2021-4, Class B                                       | CUSIP: 22535BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2596000 | PA      | $2369110.64   | 0.03%             | 2030-12-16      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2019-2A, Class D                                  | CUSIP: 96041LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2429123 | PA      | $2422889.87   | 0.03%             | 2024-11-15      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05583JAF9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  18985000 | PA      | $18655268.52  | 0.25%             | 2023-09-12      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3132CWYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6505047 | PA      | $6229993.02   | 0.08%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-12, Class ZA                                                                  | CUSIP: 38378PE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16481336 | PA      | $15368311.58  | 0.21%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pricoa Global Funding I                                              | Pricoa Global Funding I                                                                         | CUSIP: 741531FA0<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    466000 | PA      | $461067.10    | 0.01%             | 2023-09-01      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2021-2, Class C                            | CUSIP: 025291AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10749000 | PA      | $10505416.91  | 0.14%             | 2027-07-13      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2020-1A, Class D                                                    | CUSIP: 23344EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9660000 | PA      | $9403185.04   | 0.13%             | 2025-11-17      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-124, Class HG                                                          | CUSIP: 3136A9Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215861 | PA      | $204267.90    | 0.00%             | 2027-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NH2S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149176 | PA      | $147323.51    | 0.00%             | 2037-06-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2022-4, Class A                                            | CUSIP: 91678YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8583981 | PA      | $8409131.04   | 0.11%             | 2032-08-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2686, Class KZ                                                             | CUSIP: 31394KN83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732364 | PA      | $711331.04    | 0.01%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM XIV LP                                                           | LCM LP, Series 14A, Class AR                                                                    | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |  15255000 | PA      | $14943294.59  | 0.20%             | 2031-07-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                        | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                       | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14010295 | PA      | $12466933.84  | 0.17%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36225A4Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        61 | PA      | $61.11        | 0.00%             | 2024-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138EH4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75643 | PA      | $76645.10     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-2A, Class C                                                    | CUSIP: 23345EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4433000 | PA      | $4190571.64   | 0.06%             | 2027-02-16      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2020-SFR2, Class A                                                 | CUSIP: 33767JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6867492 | PA      | $6053999.55   | 0.08%             | 2037-10-19      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class DC                                                             | CUSIP: 3137A0XQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240217 | PA      | $238206.71    | 0.00%             | 2036-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138MRMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177888 | PA      | $170207.42    | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K50, Class B                                                  | CUSIP: 30293WAE2<br>LEI: 549300R3J0I74BM2LZ86 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7594099.20   | 0.10%             | 2048-10-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2020-6, Class A1                                                               | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3681158 | PA      | $3364979.54   | 0.05%             | 2025-11-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-125, Class AB                                                          | CUSIP: 3136AHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210747 | PA      | $202311.72    | 0.00%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5156063.24   | 0.07%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 15 Year                                                                                | CUSIP: 36202F2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144576 | PA      | $143422.56    | 0.00%             | 2027-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-109, Class VZ                                                          | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1540742 | PA      | $1544914.75   | 0.02%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2019-B, Class D                                              | CUSIP: 22412AAD5<br>LEI: 549300RMJRP95RN5CL91 | Long             | ABS-O            | CORP              | US        |    294319 | PA      | $294002.91    | 0.00%             | 2025-03-17      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                  | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3205000 | PA      | $3168536.72   | 0.04%             | 2026-07-17      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138LX6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746603 | PA      | $726843.72    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                 | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  10560000 | PA      | $10668379.60  | 0.15%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                   | Banco Bilbao Vizcaya Argentaria SA                                                              | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |  21200000 | PA      | $20466136.98  | 0.28%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NUBC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54896 | PA      | $53923.94     | 0.00%             | 2036-08-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class B                                 | CUSIP: 94989JBE5<br>LEI: 549300S7ENI2U7O0XH56 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2764666.20   | 0.04%             | 2048-05-15      | Variable      | 4.22%                 | No            |                  3 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-5, Class A1                                                               | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15185640 | PA      | $13710093.53  | 0.19%             | 2026-06-25      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-H08, Class FA                                                                 | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1633614 | PA      | $1621965.87   | 0.02%             | 2061-02-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352910 | PA      | $328869.71    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                         | AbbVie, Inc.                                                                                    | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5268147.89   | 0.07%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class FH                                                           | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808980 | PA      | $810880.45    | 0.01%             | 2032-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                    | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  18070000 | PA      | $15631344.18  | 0.21%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2019-3A, Class B                                      | CUSIP: 22535KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085505 | PA      | $2078875.25   | 0.03%             | 2029-01-16      | Fixed         | 2.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-18, Class DE                                                           | CUSIP: 3136AJVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    862489 | PA      | $843575.04    | 0.01%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                     | Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A                       | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4480000 | PA      | $4189360.45   | 0.06%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2020-EXP3, Class 2A1                                                          | CUSIP: 67448WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935322 | PA      | $899427.74    | 0.01%             | 2060-01-25      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2901, Class S                                                              | CUSIP: 31395KSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351922 | PA      | $345171.39    | 0.00%             | 2034-12-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3351, Class ZC                                                             | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1155582 | PA      | $1162310.86   | 0.02%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 10 Year                                                                              | CUSIP: 31418BPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35324 | PA      | $34302.17     | 0.00%             | 2025-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 3622AAXK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9367371 | PA      | $9093423.60   | 0.12%             | 2040-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2001-50, Class BA                                               | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72601 | PA      | $74782.35     | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2020-1, Class C                                              | CUSIP: 33843FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1371772.22   | 0.02%             | 2026-01-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-34, Class TY                                                                  | CUSIP: 38380VND9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    959726 | PA      | $881688.97    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                                          | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5550000 | PA      | $5313897.06   | 0.07%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-3A, Class C                                  | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4847948.50   | 0.07%             | 2025-11-17      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4212, Class LA                                                             | CUSIP: 3137B2QL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384054 | PA      | $376042.28    | 0.01%             | 2039-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-128, Class KP                                                          | CUSIP: 3136A2MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54802 | PA      | $53688.83     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 411, Class A3                                                              | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248407 | PA      | $1133951.79   | 0.02%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2020-1A, Class A                                                   | CUSIP: 96034LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1002771 | PA      | $974861.59    | 0.01%             | 2034-03-20      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13725000 | PA      | $11972149.64  | 0.16%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4286, Class MP                                                             | CUSIP: 3137B6U82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393230 | PA      | $379428.38    | 0.01%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                | Global Payments, Inc.                                                                           | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12305000 | PA      | $11965276.67  | 0.16%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280CW7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  14555000 | PA      | $13781323.30  | 0.19%             | 2024-11-22      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3855, Class AM                                                             | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1761866 | PA      | $1823265.98   | 0.02%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05583JAG7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   4552000 | PA      | $4222385.81   | 0.06%             | 2025-01-14      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3569, Class NY                                                             | CUSIP: 31398J3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517286 | PA      | $523444.62    | 0.01%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58808 | PA      | $59612.63     | 0.00%             | 2037-04-01      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2020-2, Class D                                              | CUSIP: 33844QAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4953251.50   | 0.07%             | 2026-04-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354291 | PA      | $359830.65    | 0.00%             | 2037-01-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140QECX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519841 | PA      | $455293.39    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                           | CSMC Trust, Series 2021-RPL1, Class A1                                                          | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10023417 | PA      | $9381721.64   | 0.13%             | 2060-09-27      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4657, Class VZ                                                             | CUSIP: 3137BVQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10650866 | PA      | $9716658.16   | 0.13%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  13600000 | PA      | $13458994.79  | 0.18%             | 2023-10-22      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31409YEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112484 | PA      | $109900.12    | 0.00%             | 2036-10-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 369, Class 26                                                              | CUSIP: 3136FCP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50756 | PA      | $9812.96      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4247, Class AK                                                             | CUSIP: 3137B4HD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399504 | PA      | $395994.75    | 0.01%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                     | ABN AMRO Bank NV                                                                                | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   9191000 | PA      | $8820878.43   | 0.12%             | 2025-07-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3688, Class NB                                                             | CUSIP: 3137A0MY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595575 | PA      | $586676.17    | 0.01%             | 2036-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7QA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96521 | PA      | $97903.82     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class TF                                                           | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143824 | PA      | $145078.94    | 0.00%             | 2032-12-18      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3131XXQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3114250 | PA      | $3003078.28   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-18, Class SE                                                           | CUSIP: 31396YWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84163 | PA      | $6226.19      | 0.00%             | 2038-03-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-40                                                                     | CUSIP: 313920NU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9415 | PA      | $9186.06      | 0.00%             | 2024-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2806, Class FA                                                             | CUSIP: 31395AWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253027 | PA      | $255438.19    | 0.00%             | 2034-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                                | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A                               | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2944560.00   | 0.04%             | 2031-04-16      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-32, Class DK                                                           | CUSIP: 3136AKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389906 | PA      | $370531.41    | 0.01%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H18, Class NA                                                                 | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165656 | PA      | $164266.20    | 0.00%             | 2062-08-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                      | Danske Bank A/S                                                                                 | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  18460000 | PA      | $16726003.83  | 0.23%             | 2025-09-10      | Variable      | 0.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                         | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    591882 | PA      | $519732.46    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2019-1, Class D                                              | CUSIP: 33844RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3689971.50   | 0.05%             | 2025-02-18      | Fixed         | 4.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4655, Class DJ                                                             | CUSIP: 3137BVDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2250249 | PA      | $2086770.05   | 0.03%             | 2040-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                                | Theorem Funding Trust, Series 2022-3A, Class A                                                  | CUSIP: 882925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7964240.80   | 0.11%             | 2029-04-15      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                                      | FREED ABS Trust, Series 2019-2, Class C                                                         | CUSIP: 30312JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1286763 | PA      | $1285549.45   | 0.02%             | 2026-11-18      | Fixed         | 4.86%                 | Yes           |                  3 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   7325000 | PA      | $6738236.22   | 0.09%             | 2025-05-24      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 31335AX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2235808 | PA      | $2243910.66   | 0.03%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-80, Class CQ                                                                  | CUSIP: 38379NHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189394 | PA      | $188144.61    | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-K737, Class B                                                 | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1540000 | PA      | $1404530.36   | 0.02%             | 2053-01-25      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                          | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  12805000 | PA      | $12711699.31  | 0.17%             | 2024-03-15      | Variable      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-2A, Class C                                    | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3913000 | PA      | $3734089.42   | 0.05%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                        | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13062469 | PA      | $12164072.89  | 0.17%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 15 Year                                                                                | CUSIP: 36202FV52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44597 | PA      | $43595.51     | 0.00%             | 2026-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CEQ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52745000 | PA      | $50956614.84  | 0.69%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I                                             | Morgan Stanley Capital I, Series 2017-HR2, Class A2                                             | CUSIP: 61691NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249904 | PA      | $249340.12    | 0.00%             | 2050-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71750 | PA      | $72211.36     | 0.00%             | 2037-03-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3459, Class MB                                                             | CUSIP: 31397TTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96353 | PA      | $97529.77     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-1A, Class D                                                    | CUSIP: 23344GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $2978560.65   | 0.04%             | 2026-11-16      | Fixed         | 1.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-101, Class FD                                                          | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119739 | PA      | $117034.56    | 0.00%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-1A, Class E                                    | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |   8125000 | PA      | $8060763.75   | 0.11%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                             | CUSIP: 63906YAA6<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   6015000 | PA      | $5914048.87   | 0.08%             | 2023-05-21      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                       | 7-Eleven, Inc.                                                                                  | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   6640000 | PA      | $6581236.00   | 0.09%             | 2023-02-10      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-226, Class PK                                                          | CUSIP: 31359FVP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25192 | PA      | $25069.34     | 0.00%             | 2023-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3575, Class ZA                                                             | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3806396 | PA      | $3848708.00   | 0.05%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-92, Class DE                                                           | CUSIP: 3136AGFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $569638.32    | 0.01%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-96, Class FY                                                           | CUSIP: 3136AGAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206735 | PA      | $202347.54    | 0.00%             | 2042-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                             | International Flavors & Fragrances, Inc.                                                        | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   6020000 | PA      | $5320943.75   | 0.07%             | 2025-10-01      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class MB                                                           | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738171 | PA      | $745864.41    | 0.01%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4698, Class DA                                                             | CUSIP: 3137F1XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2267739 | PA      | $2218746.59   | 0.03%             | 2045-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLT XCII LLC                                                        | VOLT XCII LLC, Series 2021-NPL1, Class A1                                                       | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7243074 | PA      | $6413089.40   | 0.09%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H01, Class FA                                                                 | CUSIP: 38376RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3063252 | PA      | $3010805.62   | 0.04%             | 2066-01-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128HDQ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2585 | PA      | $2537.54      | 0.00%             | 2027-12-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2019-3, Class E                            | CUSIP: 02529NAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9150000 | PA      | $9023141.66   | 0.12%             | 2025-09-12      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                                            | FHF Trust, Series 2021-1A, Class A                                                              | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5570074 | PA      | $5318513.45   | 0.07%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-125, Class AG                                                                 | CUSIP: 38382HMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1622278 | PA      | $1514497.29   | 0.02%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128QGJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45303 | PA      | $45870.66     | 0.00%             | 2036-08-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16665000 | PA      | $16852481.25  | 0.23%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-57, Class ZE                                                           | CUSIP: 31396WKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261377 | PA      | $262427.52    | 0.00%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2020-N1A, Class C                                        | CUSIP: 14687PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5832821 | PA      | $5802364.46   | 0.08%             | 2025-06-16      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1994-43, Class PK                                                           | CUSIP: 31359HBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23902 | PA      | $23845.53     | 0.00%             | 2024-02-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-85, Class SH                                                           | CUSIP: 31396XQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878835 | PA      | $16868.18     | 0.00%             | 2037-09-25      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2022-4, Class C                            | CUSIP: 02529XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9750000 | PA      | $9861823.73   | 0.13%             | 2029-02-15      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-72, Class KB                                                           | CUSIP: 3136A0NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336495 | PA      | $329023.27    | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2021-3, Class C                                              | CUSIP: 33846QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16250000 | PA      | $14674426.00  | 0.20%             | 2027-09-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| OPG Trust                                                            | OPG Trust, Series 2021-PORT, Class B                                                            | CUSIP: 67118AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4297296 | PA      | $4028031.94   | 0.05%             | 2036-10-15      | Floating      | 4.59%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-109, Class M                                                           | CUSIP: 31398NRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216847 | PA      | $1145716.37   | 0.02%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                                  | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9550000 | PA      | $8615926.92   | 0.12%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  51246000 | PA      | $50319519.47  | 0.68%             | 2024-06-02      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2021-4, Class C                            | CUSIP: 02530TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29750000 | PA      | $28093415.88  | 0.38%             | 2028-02-14      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2014-GC23, Class C                                  | CUSIP: 17322VAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4385019 | PA      | $4119271.06   | 0.06%             | 2047-07-10      | Variable      | 4.58%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-58, Class FY                                                           | CUSIP: 31398RXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140318 | PA      | $139621.88    | 0.00%             | 2040-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                         | Veros Auto Receivables Trust, Series 2022-1, Class A                                            | CUSIP: 92512VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4724892 | PA      | $4612522.74   | 0.06%             | 2025-12-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 15 Year                                                                                 | CUSIP: 36241LHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2860 | PA      | $2855.52      | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-RPL2, Class A1                                                            | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1941990 | PA      | $1721243.25   | 0.02%             | 2051-10-25      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  23415000 | PA      | $23497094.63  | 0.32%             | 2026-09-29      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                            | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   5310000 | PA      | $4811176.53   | 0.07%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-11, Class EA                                                           | CUSIP: 3136B4BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    788342 | PA      | $727950.39    | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140QCV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542670 | PA      | $475290.25    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2021-N4, Class C                                         | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6494000 | PA      | $6200161.44   | 0.08%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 05578QAC7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  10774000 | PA      | $10464139.76  | 0.14%             | 2024-07-11      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Humana, Inc.                                                         | Humana, Inc.                                                                                    | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |  36025000 | PA      | $34959211.90  | 0.48%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-89, Class KZ                                                           | CUSIP: 3136AYWT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6750359 | PA      | $5830642.85   | 0.08%             | 2047-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-72                                                                     | CUSIP: 31397MJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11187 | PA      | $189.31       | 0.00%             | 2028-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                                          | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1204631 | PA      | $1070400.47   | 0.01%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132G5AP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547677 | PA      | $519710.20    | 0.01%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3768, Class MB                                                             | CUSIP: 3137A4CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6479 | PA      | $6460.71      | 0.00%             | 2039-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570827 | PA      | $510537.91    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2013-K28, Class C                                                  | CUSIP: 30291HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6941837.70   | 0.09%             | 2046-06-25      | Variable      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                  | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  17100000 | PA      | $15704109.73  | 0.21%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-5, Class DA                                                            | CUSIP: 3136ABF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230558 | PA      | $215502.15    | 0.00%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2020-C, Class C                                              | CUSIP: 12597TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1576836 | PA      | $1563721.25   | 0.02%             | 2026-08-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-58, Class GL                                                           | CUSIP: 31393DCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111980 | PA      | $111162.01    | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  13721000 | PA      | $13573156.64  | 0.18%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                         | CUSIP: 3133N3VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461938 | PA      | $420373.76    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578781 | PA      | $590921.27    | 0.01%             | 2036-03-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3430405 | PA      | $3004706.96   | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H29, Class FA                                                                 | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6826 | PA      | $6735.21      | 0.00%             | 2065-10-20      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-84, Class JA                                                           | CUSIP: 3136AYMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562363 | PA      | $507219.55    | 0.01%             | 2047-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4417, Class PZ                                                             | CUSIP: 3137BFWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3445575 | PA      | $3134515.42   | 0.04%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding XIV LLC                                              | Oportun Funding XIV LLC, Series 2021-A, Class A                                                 | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8132000 | PA      | $7456982.20   | 0.10%             | 2028-03-08      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                           | Aviation Capital Group LLC                                                                      | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   4330000 | PA      | $4239349.33   | 0.06%             | 2024-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149682 | PA      | $1089666.81   | 0.01%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4461, Class LZ                                                             | CUSIP: 3137BHKY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4187835 | PA      | $3784680.33   | 0.05%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2021-1, Class A                                         | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8642961 | PA      | $7470386.23   | 0.10%             | 2053-04-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                                | Mission Lane Credit Card Master Trust, Series 2021-A, Class A                                   | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26014000 | PA      | $25041750.16  | 0.34%             | 2026-09-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                     | First Investors Auto Owner Trust, Series 2020-1A, Class C                                       | CUSIP: 32060KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1405475 | PA      | $1396575.24   | 0.02%             | 2026-02-17      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2021-4, Class A                                       | CUSIP: 22535BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11538000 | PA      | $10747538.54  | 0.15%             | 2030-10-15      | Fixed         | 1.26%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2020-1, Class D                                            | CUSIP: 26208QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13200000 | PA      | $12863793.36  | 0.18%             | 2027-05-17      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3996, Class BA                                                             | CUSIP: 3137ALSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95963 | PA      | $91232.72     | 0.00%             | 2027-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-35, Class PE                                                           | CUSIP: 31397SVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168909 | PA      | $1110573.97   | 0.02%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GJY6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  16264000 | PA      | $15783772.06  | 0.21%             | 2024-06-14      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4682, Class LC                                                             | CUSIP: 3137BXZG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    529515 | PA      | $467492.31    | 0.01%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                              | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   4400000 | PA      | $4134952.23   | 0.06%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class A                                          | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    879937 | PA      | $782972.04    | 0.01%             | 2035-08-27      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                       | Morgan Stanley Capital I Trust, Series 2021-L6, Class A2                                        | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3884119 | PA      | $3448631.19   | 0.05%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4591, Class QE                                                             | CUSIP: 3137BQQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201779 | PA      | $182295.18    | 0.00%             | 2046-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-25, Class QH                                                                  | CUSIP: 38379T2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1294518 | PA      | $1230059.61   | 0.02%             | 2044-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4039, Class PB                                                             | CUSIP: 3137AQPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500301 | PA      | $470291.24    | 0.01%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                                      | Aligned Data Centers Issuer LLC, Series 2021-1A, Class A2                                       | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3123000 | PA      | $2642451.50   | 0.04%             | 2046-08-15      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138EQ5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3293498 | PA      | $3238662.99   | 0.04%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-79, Class LA                                                                  | CUSIP: 38379XNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330923 | PA      | $318394.81    | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-144, Class HP                                                          | CUSIP: 3136ABJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483568 | PA      | $437147.28    | 0.01%             | 2042-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                  | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801293 | PA      | $738320.32    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                                           | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   7650000 | PA      | $7252812.00   | 0.10%             | 2024-01-08      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                    | American Electric Power Co., Inc.                                                               | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   9670000 | PA      | $9291708.34   | 0.13%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-113, Class DC                                                          | CUSIP: 3136A83J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162764 | PA      | $151013.57    | 0.00%             | 2042-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                         | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $4412509.50   | 0.06%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-74, Class DY                                                                  | CUSIP: 38382E5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    995237 | PA      | $850983.40    | 0.01%             | 2050-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A                                      | CUSIP: 22536BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2708253 | PA      | $2635611.06   | 0.04%             | 2029-10-15      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3784, Class S                                                              | CUSIP: 3137A56Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43145 | PA      | $172.00       | 0.00%             | 2023-07-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| McCormick & Co., Inc.                                                | McCormick & Co., Inc.                                                                           | CUSIP: 579780AJ6<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $987839.50    | 0.01%             | 2023-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129901 | PA      | $132908.56    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2052618 | PA      | $2047030.43   | 0.03%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2014-K39, Class C                                                  | CUSIP: 30292GAQ1<br>LEI: 549300XDUXW4MOV3QH87 | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6255711.80   | 0.09%             | 2047-08-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                          | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158 | PA      | $151.06       | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 289, Class 1                                                               | CUSIP: 31364HQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63838 | PA      | $58845.80     | 0.00%             | 2027-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                                         | Dext ABS LLC, Series 2021-1, Class A                                                            | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6921879 | PA      | $6599051.31   | 0.09%             | 2028-02-15      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2013-K35, Class C                                                  | CUSIP: 30291VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4912556.00   | 0.07%             | 2046-12-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                                 | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  19605000 | PA      | $17141897.40  | 0.23%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4029, Class LY                                                             | CUSIP: 3137APFZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $947883.60    | 0.01%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4714, Class PA                                                             | CUSIP: 3137F2ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1972832 | PA      | $1828273.43   | 0.02%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7MJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99794 | PA      | $101219.29    | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Ultra Bond                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -98 | NC      | $-312590.60   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3862, Class GA                                                             | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216614 | PA      | $210567.86    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-90, Class MA                                                                  | CUSIP: 38379XQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244948 | PA      | $235382.89    | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  23670000 | PA      | $23271921.96  | 0.32%             | 2025-04-22      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-70, Class MB                                                           | CUSIP: 3136B7KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $741080.70    | 0.01%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-1, Class A                                            | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    986828 | PA      | $981615.39    | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                               | WEC Energy Group, Inc.                                                                          | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5648868.73   | 0.08%             | 2025-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4631, Class PA                                                             | CUSIP: 3137BSZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2085570 | PA      | $1949939.91   | 0.03%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C                            | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7919746.20   | 0.11%             | 2048-07-15      | Variable      | 4.37%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3140X6G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2147436 | PA      | $2038207.23   | 0.03%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  14735000 | PA      | $14379641.60  | 0.20%             | 2024-05-11      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31413NGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382092 | PA      | $408746.15    | 0.01%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                  | Triton Container International Ltd.                                                             | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   3135000 | PA      | $2888706.56   | 0.04%             | 2024-06-07      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2021-HB6, Class A                                        | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13045654 | PA      | $12287474.23  | 0.17%             | 2036-06-25      | Variable      | 0.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-49                                                                     | CUSIP: 31393CY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217982 | PA      | $41241.66     | 0.00%             | 2033-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5000000 | PA      | $4612694.45   | 0.06%             | 2025-04-01      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-84, Class DZ                                                           | CUSIP: 31392FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184003 | PA      | $188055.70    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                        | Entergy Corp.                                                                                   | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   2915000 | PA      | $2598385.32   | 0.04%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR2, Class A                                                           | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3866666 | PA      | $3319712.56   | 0.05%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138EJMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1981483 | PA      | $1942878.43   | 0.03%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-53, Class FT                                                           | CUSIP: 31397URA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125769 | PA      | $124392.00    | 0.00%             | 2041-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                   | Metropolitan Life Global Funding I                                                              | CUSIP: 59217GAX7<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   5600000 | PA      | $5588891.34   | 0.08%             | 2023-01-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3597, Class HM                                                             | CUSIP: 31398L7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146501 | PA      | $145137.70    | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class B                                      | CUSIP: 22535MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9300000 | PA      | $9008568.69   | 0.12%             | 2029-09-17      | Fixed         | 1.93%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  21695000 | PA      | $22656792.29  | 0.31%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                             | PRET LLC, Series 2021-NPL3, Class A1                                                            | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12417127 | PA      | $11086466.90  | 0.15%             | 2051-07-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3132A86M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870745 | PA      | $1859343.86   | 0.03%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132G5AV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115493 | PA      | $110071.30    | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                               | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7333870 | PA      | $6458136.29   | 0.09%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2019-3A, Class E                                  | CUSIP: 96042HAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9030000 | PA      | $8889725.27   | 0.12%             | 2025-03-17      | Fixed         | 3.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-87, Class BA                                                           | CUSIP: 3136B3RG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157000 | PA      | $150001.84    | 0.00%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4150, Class FY                                                             | CUSIP: 3137AY3R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369035 | PA      | $364436.76    | 0.00%             | 2041-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1993-216, Class E                                                           | CUSIP: 31359EL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1111 | PA      | $1105.84      | 0.00%             | 2023-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                          | Penske Truck Leasing Co. LP                                                                     | CUSIP: 709599BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9600000 | PA      | $8443049.47   | 0.11%             | 2025-11-15      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-73, Class HJ                                                           | CUSIP: 31396QB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123794 | PA      | $127660.53    | 0.00%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4682, Class AP                                                             | CUSIP: 3137BXXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    694611 | PA      | $630184.56    | 0.01%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-7, Class A1                                                               | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5909816 | PA      | $5312172.41   | 0.07%             | 2026-08-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR6, Class A                                           | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7278693 | PA      | $6262098.55   | 0.09%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-25, Class DZ                                                           | CUSIP: 31396YL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426812 | PA      | $431275.31    | 0.01%             | 2038-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  18255000 | PA      | $17513880.95  | 0.24%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                                             | BHG Securitization Trust, Series 2021-B, Class A                                                | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8019337 | PA      | $7528554.11   | 0.10%             | 2034-10-17      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128Q3Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    765788 | PA      | $790417.35    | 0.01%             | 2035-03-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                           | Upstart Pass-Through Trust, Series 2021-ST5, Class A                                            | CUSIP: 91679XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497866 | PA      | $1422045.99   | 0.02%             | 2027-07-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4255, Class LZ                                                             | CUSIP: 3137B5H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10502376 | PA      | $9868161.37   | 0.13%             | 2033-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K42, Class C                                                  | CUSIP: 30262SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $953261.60    | 0.01%             | 2048-01-25      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                                     | NMEF Funding LLC, Series 2022-A, Class B                                                        | CUSIP: 62920KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2488196.70   | 0.03%             | 2028-10-16      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-42, Class ND                                                                  | CUSIP: 38378JES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104739 | PA      | $95294.47     | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41282 | PA      | $42349.06     | 0.00%             | 2036-05-01      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-28, Class DE                                                                  | CUSIP: 38378FWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233989 | PA      | $204109.99    | 0.00%             | 2042-12-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4257, Class A                                                              | CUSIP: 3137B56H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120839 | PA      | $119466.63    | 0.00%             | 2027-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140GXNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444560 | PA      | $1268825.69   | 0.02%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4338, Class GE                                                             | CUSIP: 3137BB4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67933 | PA      | $65564.48     | 0.00%             | 2029-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3132GSDC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1912445 | PA      | $1867016.66   | 0.03%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-15, Class AC                                                           | CUSIP: 31397NDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700156 | PA      | $704291.29    | 0.01%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12926 | PA      | $13239.25     | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H04, Class FL                                                                 | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166643 | PA      | $164567.89    | 0.00%             | 2065-02-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-133, Class AP                                                          | CUSIP: 3136AAWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3692898 | PA      | $3255523.92   | 0.04%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1754, Class Z                                                              | CUSIP: 3133T5J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5593 | PA      | $5716.69      | 0.00%             | 2024-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC                                    | Pawneee Equipment Receivables LLC, Series 2021-1, Class B                                       | CUSIP: 704100AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5934000 | PA      | $5352425.87   | 0.07%             | 2027-07-15      | Fixed         | 1.82%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128MCBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13546 | PA      | $13509.47     | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138ELTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543643 | PA      | $550836.47    | 0.01%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-16, Class FC                                                           | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15186 | PA      | $15122.02     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138ELYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472182 | PA      | $466454.67    | 0.01%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR3, Class A                                                           | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1422000 | PA      | $1220354.29   | 0.02%             | 2038-10-17      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3904, Class HC                                                             | CUSIP: 3137AE5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821487 | PA      | $786423.42    | 0.01%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class FD                                                                 | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471120 | PA      | $459468.82    | 0.01%             | 2067-06-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4329, Class KA                                                             | CUSIP: 3137BA3T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36057 | PA      | $35924.60     | 0.00%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  13088000 | PA      | $12504135.03  | 0.17%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR2, Class B                                                           | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19288888 | PA      | $16390667.00  | 0.22%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  3 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2018-4A, Class D                                    | CUSIP: 30166EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1807307 | PA      | $1798359.29   | 0.02%             | 2024-09-16      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7036 | PA      | $6878.08      | 0.00%             | 2027-01-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229617 | PA      | $240924.50    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-11, Class ZY                                                           | CUSIP: 31397NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2776132 | PA      | $2782330.55   | 0.04%             | 2049-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1560, Class Z                                                              | CUSIP: 3133T0VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5273 | PA      | $5267.80      | 0.00%             | 2023-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-98, Class QG                                                           | CUSIP: 3136A8AS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332251 | PA      | $316131.87    | 0.00%             | 2032-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-26, Class S                                                                   | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3522186 | PA      | $156898.58    | 0.00%             | 2036-06-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2020-AA, Class A                                         | CUSIP: 56848MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4656812.02   | 0.06%             | 2034-08-21      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H15, Class FA                                                                 | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792118 | PA      | $785892.54    | 0.01%             | 2063-06-20      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-158, Class AB                                                                 | CUSIP: 38378AV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127982 | PA      | $125644.14    | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535998 | PA      | $1603028.24   | 0.02%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-27, Class HZ                                                           | CUSIP: 31394CG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704185 | PA      | $1703446.40   | 0.02%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                                    | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1231751 | PA      | $1217917.92   | 0.02%             | 2046-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2020-3, Class D                                  | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725000 | PA      | $1644041.78   | 0.02%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B                    | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140000 | PA      | $3563863.11   | 0.05%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128S4LU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12149 | PA      | $12117.65     | 0.00%             | 2037-04-01      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418TCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212787 | PA      | $215997.78    | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68217 | PA      | $66399.52     | 0.00%             | 2036-12-01      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-1, Class NF                                                            | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295444 | PA      | $291828.22    | 0.00%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-29, Class LA                                                           | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    975284 | PA      | $873112.30    | 0.01%             | 2039-05-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2021-FL7, Class B                                                     | CUSIP: 05602CAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7025000 | PA      | $6510629.50   | 0.09%             | 2038-12-15      | Floating      | 5.93%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1137 | PA      | $1163.62      | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138EQPG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2602028 | PA      | $2541630.93   | 0.03%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M65F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85690 | PA      | $88456.42     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2022-SFR1, Class B                                                         | CUSIP: 10805VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10575000 | PA      | $9669117.26   | 0.13%             | 2037-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-50, Class F                                                                   | CUSIP: 38373QSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102263 | PA      | $102217.88    | 0.00%             | 2033-05-16      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488641 | PA      | $522564.32    | 0.01%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                       | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                                      | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15803508 | PA      | $14148610.83  | 0.19%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3903, Class GB                                                             | CUSIP: 3137AEF83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193898 | PA      | $191234.68    | 0.00%             | 2026-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3906, Class B                                                              | CUSIP: 3137AEJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3148450 | PA      | $2939755.46   | 0.04%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H08, Class FA                                                                 | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259296 | PA      | $256680.69    | 0.00%             | 2063-03-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5024 | PA      | $5008.63      | 0.00%             | 2037-08-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3002, Class BN                                                             | CUSIP: 31395WLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238997 | PA      | $240358.74    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-80, Class CP                                                                  | CUSIP: 38379NHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262311 | PA      | $257861.47    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                           | AerCap Ireland Capital DAC                                                                      | CUSIP: 00774MAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3500000 | PA      | $3489449.36   | 0.05%             | 2023-01-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-4, Class PB                                                            | CUSIP: 31394VYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276791 | PA      | $276171.44    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2020-2A, Class C                                      | CUSIP: 38014RAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $5173967.40   | 0.07%             | 2026-04-15      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2022-C, Class C                                              | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8120000 | PA      | $7871078.15   | 0.11%             | 2030-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                                    | Santander Retail Auto Lease Trust, Series 2021-B, Class A3                                      | CUSIP: 80286DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4320899.10   | 0.06%             | 2024-08-20      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                         | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351577 | PA      | $307960.59    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4311, Class ED                                                             | CUSIP: 3137B7WL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95478 | PA      | $91194.75     | 0.00%             | 2043-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2013-K29, Class C                                                  | CUSIP: 30291JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1580000 | PA      | $1558827.84   | 0.02%             | 2046-05-25      | Variable      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2021-SFR1, Class A                                             | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1796516 | PA      | $1564655.54   | 0.02%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                       | Protective Life Global Funding                                                                  | CUSIP: 74368CAR5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   2735000 | PA      | $2679545.93   | 0.04%             | 2023-06-09      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    820992 | PA      | $798071.49    | 0.01%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-114, Class JA                                                          | CUSIP: 3136AGU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47268 | PA      | $46466.18     | 0.00%             | 2035-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-3A, Class D                                                    | CUSIP: 23344QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9655000 | PA      | $8420838.04   | 0.11%             | 2027-05-17      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                                | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                                | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5874120.00   | 0.08%             | 2032-10-13      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-126, Class LI                                                          | CUSIP: 31398SAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464475 | PA      | $29423.07     | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912796YJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  77170000 | PA      | $74208858.23  | 1.01%             | 2023-10-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                                      | DataBank Issuer, Series 2021-1A, Class A2                                                       | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11666667 | PA      | $10062038.29  | 0.14%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2327 | PA      | $2374.79      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-94                                                                     | CUSIP: 3136BDWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493267 | PA      | $404074.46    | 0.01%             | 2048-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                           | Upstart Pass-Through Trust, Series 2021-ST6, Class A                                            | CUSIP: 91680VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3878151 | PA      | $3605177.29   | 0.05%             | 2027-08-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3131XYGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1960552 | PA      | $1830794.17   | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                         | DNB Bank ASA                                                                                    | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  14945000 | PA      | $13143752.53  | 0.18%             | 2026-09-16      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RAU6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  17970000 | PA      | $16927425.35  | 0.23%             | 2024-10-16      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2020-BN30, Class XA                                                                | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  84088703 | PA      | $5980766.97   | 0.08%             | 2053-12-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Stonepeak ABS                                                        | Stonepeak ABS, Series 2021-1A                                                                   | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8937994 | PA      | $7933542.59   | 0.11%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                          | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   8000000 | PA      | $7664600.16   | 0.10%             | 2025-05-21      | Variable      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83367TBG3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  14000000 | PA      | $13801908.54  | 0.19%             | 2024-01-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-101, Class B                                                           | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922551 | PA      | $922124.61    | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H24, Class AF                                                                 | CUSIP: 38376RE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2129501 | PA      | $2096928.73   | 0.03%             | 2066-11-20      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   6285000 | PA      | $6234742.12   | 0.08%             | 2024-03-08      | Variable      | 3.77%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-26, Class PA                                                                  | CUSIP: 38377QBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15970 | PA      | $15834.44     | 0.00%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36296DHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1188717 | PA      | $1267534.76   | 0.02%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Upstart Pass-Through Trust                                           | Upstart Pass-Through Trust, Series 2021-ST10, Class A                                           | CUSIP: 91681WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14324702 | PA      | $13547850.81  | 0.18%             | 2030-01-20      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  16775000 | PA      | $15889354.82  | 0.22%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                     | First Investors Auto Owner Trust, Series 2018-2A, Class D                                       | CUSIP: 32059DAJ3<br>LEI: 5493005MRGG10NHC4413 | Long             | ABS-O            | CORP              | US        |    612898 | PA      | $612640.09    | 0.01%             | 2025-01-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140QDUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528264 | PA      | $462674.71    | 0.01%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2019-3, Class D                            | CUSIP: 02529NAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2642460 | PA      | $2623308.12   | 0.04%             | 2025-09-12      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-14, Class DB                                                           | CUSIP: 31395BEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401029 | PA      | $409992.18    | 0.01%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       580 | PA      | $597.78       | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31411EC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23947 | PA      | $23706.38     | 0.00%             | 2036-12-01      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                       | FHLMC Structured Agency Credit Risk Debt Notes, Series 2019-CS03, Class M1                      | CUSIP: 3137G0WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1568366 | PA      | $1563965.74   | 0.02%             | 2032-10-25      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2014-CR19, Class B                                            | CUSIP: 12592GBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4350000 | PA      | $4159155.50   | 0.06%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  3 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   8000000 | PA      | $7618765.52   | 0.10%             | 2024-07-01      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4152, Class LE                                                             | CUSIP: 3137AXPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3216508 | PA      | $2916613.85   | 0.04%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496360 | PA      | $500509.36    | 0.01%             | 2037-06-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2020-AA, Class A                                                     | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1523977 | PA      | $1435781.87   | 0.02%             | 2046-07-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3724, Class CM                                                             | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298301 | PA      | $300105.21    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2020-3A, Class C                                                    | CUSIP: 26253AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1445000 | PA      | $1394715.45   | 0.02%             | 2026-06-15      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96067 | PA      | $96631.66     | 0.00%             | 2036-12-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128JRW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105218 | PA      | $103900.53    | 0.00%             | 2037-08-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H15, Class FN                                                                 | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381110 | PA      | $373220.54    | 0.01%             | 2067-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128CULE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    478089 | PA      | $484101.18    | 0.01%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2020-3, Class C                                              | CUSIP: 33844TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8335000 | PA      | $7899482.08   | 0.11%             | 2026-09-15      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-1A, Class C                                                    | CUSIP: 23344GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9210000 | PA      | $8796877.16   | 0.12%             | 2026-10-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       570 | PA      | $585.76       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                               | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1                                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1535402.58   | 0.02%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                    | HSBC Holdings plc                                                                               | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  11950000 | PA      | $10833356.63  | 0.15%             | 2026-06-04      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-2, Class A1                                                               | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8797353 | PA      | $8035767.03   | 0.11%             | 2026-03-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                               | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL2, Class A1                              | CUSIP: 741386AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11735304 | PA      | $10809538.93  | 0.15%             | 2060-06-27      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3174, Class LF                                                             | CUSIP: 31396TP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170297 | PA      | $168735.45    | 0.00%             | 2036-05-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2941, Class Z                                                              | CUSIP: 31395PUN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1109292 | PA      | $1090833.71   | 0.01%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119693 | PA      | $120132.20    | 0.00%             | 2037-11-01      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Pawneee Equipment Receivables LLC                                    | Pawneee Equipment Receivables LLC, Series 2021-1, Class A2                                      | CUSIP: 704100AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3275855 | PA      | $3117679.13   | 0.04%             | 2027-07-15      | Fixed         | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2020-CBM, Class A2                                            | CUSIP: 20049AAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4355000 | PA      | $4006389.65   | 0.05%             | 2037-02-10      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H14, Class GF                                                                 | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219727 | PA      | $217931.28    | 0.00%             | 2064-07-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H14, Class FA                                                                 | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509591 | PA      | $1491148.50   | 0.02%             | 2066-06-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1480, Class LZ                                                             | CUSIP: 312914J21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       617 | PA      | $617.72       | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 359, Class 16                                                              | CUSIP: 3136FCUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78061 | PA      | $13526.22     | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3966, Class VZ                                                             | CUSIP: 3137AJXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826314 | PA      | $786185.17    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1720931 | PA      | $1539172.56   | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2020-1A, Class B                                               | CUSIP: 67592LAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    734000 | PA      | $710274.33    | 0.01%             | 2025-06-20      | Fixed         | 1.98%                 | Yes           |                  3 | On Loan: No      |
| Skopos Auto Receivables Trust                                        | Skopos Auto Receivables Trust, Series 2019-1A, Class D                                          | CUSIP: 83085DAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3960000 | PA      | $3911015.99   | 0.05%             | 2025-04-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-B2, Class ZA                                                           | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1819846 | PA      | $1862832.54   | 0.03%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4131, Class BC                                                             | CUSIP: 3137AVQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108566 | PA      | $101116.96    | 0.00%             | 2027-11-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2020-4, Class C                            | CUSIP: 02530QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4926867 | PA      | $4812493.69   | 0.07%             | 2026-12-14      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186062 | PA      | $176199.62    | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-18, Class BA                                                           | CUSIP: 3136B4QD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9400172 | PA      | $8978339.00   | 0.12%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-109, Class BA                                                          | CUSIP: 3136AGQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655561 | PA      | $628442.55    | 0.01%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4170, Class QE                                                             | CUSIP: 3137AYYL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107417 | PA      | $103315.61    | 0.00%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2021-1, Class C                            | CUSIP: 02528BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2631546 | PA      | $2590001.89   | 0.04%             | 2027-03-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63938 | PA      | $63241.25     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-75, Class SP                                                                  | CUSIP: 38375DPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    728858 | PA      | $30817.22     | 0.00%             | 2038-08-20      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3249, Class CL                                                             | CUSIP: 31397EDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1223286 | PA      | $1200686.21   | 0.02%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2021-1, Class D                                  | CUSIP: 80286NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5644867.20   | 0.08%             | 2026-11-16      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                      | NYMT Loan Trust, Series 2021-SP1, Class A1                                                      | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11143694 | PA      | $9907423.69   | 0.13%             | 2061-08-25      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-42, Class PF                                                           | CUSIP: 31395DUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194179 | PA      | $191819.65    | 0.00%             | 2036-06-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                           | Microchip Technology, Inc.                                                                      | CUSIP: 595017BA1<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   7850000 | PA      | $7636179.27   | 0.10%             | 2025-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H25, Class FD                                                                 | CUSIP: 38376RJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6430835 | PA      | $6302177.52   | 0.09%             | 2065-10-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 15 Year                                                                                | CUSIP: 36202FYD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    691493 | PA      | $669821.46    | 0.01%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                                 | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  14240000 | PA      | $13117332.78  | 0.18%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2021-1A, Class D                                  | CUSIP: 96043FAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22136000 | PA      | $20582568.57  | 0.28%             | 2026-04-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                         | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7302000 | PA      | $7257539.14   | 0.10%             | 2023-02-10      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-68, Class HQ                                                           | CUSIP: 3136AXM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1198100 | PA      | $1118042.94   | 0.02%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2020-N1A, Class D                                        | CUSIP: 14687PAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10308002.86  | 0.14%             | 2026-01-15      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   9650000 | PA      | $9425286.05   | 0.13%             | 2024-03-28      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                                             | Octane Receivables Trust, Series 2021-2A, Class A                                               | CUSIP: 67578AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3119313 | PA      | $2971989.35   | 0.04%             | 2028-09-20      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      9632 | NC      | $6616083.97   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102369 | PA      | $100608.05    | 0.00%             | 2037-10-01      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2362, Class F                                                              | CUSIP: 313399W60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72453 | PA      | $72100.52     | 0.00%             | 2031-09-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14105000 | PA      | $12726732.18  | 0.17%             | 2026-06-19      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E1                                          | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $3833472.56   | 0.05%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                              | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138290 | PA      | $143369.97    | 0.00%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31418MCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128378 | PA      | $125851.82    | 0.00%             | 2037-11-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36205XWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       513 | PA      | $513.28       | 0.00%             | 2024-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-38, Class AO                                                           | CUSIP: 31393YBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2137831 | PA      | $1558303.82   | 0.02%             | 2034-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-39, Class IN                                                                  | CUSIP: 38374GUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101908 | PA      | $5871.75      | 0.00%             | 2033-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group Cayman 3 Ltd.                                 | Mizuho Financial Group Cayman 3 Ltd.                                                            | CUSIP: 60688UAB2<br>LEI: 549300AM6U7J7ZZI1G88 | Long             | DBT              | CORP              | KY        |  41100000 | PA      | $40381572.00  | 0.55%             | 2024-03-27      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2019-3, Class C                                              | CUSIP: 33846AAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8617416 | PA      | $8533748.89   | 0.12%             | 2025-10-15      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                              | CUSIP: 22535WAE7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8885000 | PA      | $8827625.29   | 0.12%             | 2023-04-24      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4065000 | PA      | $3786118.97   | 0.05%             | 2026-04-30      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                                    | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  10350000 | PA      | $10040357.29  | 0.14%             | 2025-09-24      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10496995 | PA      | $9795921.77   | 0.13%             | 2040-02-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H04, Class FG                                                                 | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470321 | PA      | $463328.54    | 0.01%             | 2068-02-20      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138EQNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    685080 | PA      | $642938.72    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4318, Class KB                                                             | CUSIP: 3137B9C86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60826 | PA      | $60383.22     | 0.00%             | 2032-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2014-K41, Class C                                                  | CUSIP: 30287EAG5<br>LEI: 549300J7N4IBRYXP6K82 | Long             | ABS-MBS          | USGSE             | US        |   4350000 | PA      | $4138995.86   | 0.06%             | 2047-11-25      | Variable      | 3.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-18, Class DA                                                           | CUSIP: 3136AVQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1225582 | PA      | $1161239.85   | 0.02%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3947, Class BH                                                             | CUSIP: 3137AGCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3395304 | PA      | $3032873.16   | 0.04%             | 2041-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  12175000 | PA      | $11596924.06  | 0.16%             | 2024-10-30      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                                         | LL ABS Trust, Series 2022-2A, Class A                                                           | CUSIP: 75526GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3199654 | PA      | $3185072.24   | 0.04%             | 2030-05-15      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2889693 | PA      | $2786212.83   | 0.04%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                                | USASF Receivables LLC, Series 2020-1A, Class B                                                  | CUSIP: 90353QAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1957756 | PA      | $1948987.50   | 0.03%             | 2024-05-15      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II                             | Reliance Standard Life Global Funding II                                                        | CUSIP: 75951AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1388000 | PA      | $1368551.70   | 0.02%             | 2023-09-19      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-101, Class FC                                                          | CUSIP: 31396LHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187434 | PA      | $183200.73    | 0.00%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class B                               | CUSIP: 82650TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398113 | PA      | $1362281.10   | 0.02%             | 2040-06-20      | Fixed         | 5.04%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-52, Class GB                                                           | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94251 | PA      | $95247.07     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2021-3A, Class C                                  | CUSIP: 96043JAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  22380000 | PA      | $20866183.23  | 0.28%             | 2027-01-15      | Fixed         | 1.58%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3140X74W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2219581 | PA      | $2181700.39   | 0.03%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                           | Warnermedia Holdings, Inc.                                                                      | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $13669242.30  | 0.19%             | 2027-03-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust                                        | CarNow Auto Receivables Trust, Series 2021-2A, Class B                                          | CUSIP: 14369HAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12014726 | PA      | $11767484.87  | 0.16%             | 2026-01-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-34, Class FA                                                           | CUSIP: 31392CM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86761 | PA      | $86459.95     | 0.00%             | 2032-05-18      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2022-3, Class D                            | CUSIP: 02528GAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3599000 | PA      | $3455983.66   | 0.05%             | 2028-10-13      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3204, Class ZM                                                             | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494714 | PA      | $495437.25    | 0.01%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                              | Lendingpoint Asset Securitization Trust, Series 2021-B, Class A                                 | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5182480 | PA      | $5107510.61   | 0.07%             | 2029-02-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                                | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  21754000 | PA      | $21552219.25  | 0.29%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2701093 | PA      | $2638839.79   | 0.04%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-34, Class PC                                                           | CUSIP: 3136ADQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566846 | PA      | $523583.53    | 0.01%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class A2                                | CUSIP: 95001ABA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1478857 | PA      | $1321786.86   | 0.02%             | 2050-11-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-63, Class A7                                                           | CUSIP: 31393DSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1609914 | PA      | $1626420.45   | 0.02%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4039, Class AB                                                             | CUSIP: 3137AQME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169606 | PA      | $159747.73    | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CarNow Auto Receivables Trust                                        | CarNow Auto Receivables Trust, Series 2020-1A, Class C                                          | CUSIP: 14368RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    843760 | PA      | $840393.52    | 0.01%             | 2024-09-16      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H09, Class FA                                                                 | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385198 | PA      | $376189.94    | 0.01%             | 2065-04-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31416BUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       253 | PA      | $252.78       | 0.00%             | 2023-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2020-SFR1, Class C                                                 | CUSIP: 33767MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2307000 | PA      | $2049928.68   | 0.03%             | 2037-08-17      | Fixed         | 1.94%                 | Yes           |                  3 | On Loan: No      |
| CSMC Mortgage-Backed Trust                                           | CSMC Mortgage-Backed Trust, Series 2007-5, Class 5A5                                            | CUSIP: 22944BDC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284851 | PA      | $42908.75     | 0.00%             | 2037-04-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Stratus CLO Ltd.                                                     | Stratus CLO Ltd., Series 2021-1A, Class A                                                       | CUSIP: 863162AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12767511 | PA      | $12527188.08  | 0.17%             | 2029-12-29      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-38, Class EA                                                           | CUSIP: 313920QL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31761 | PA      | $29563.16     | 0.00%             | 2031-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2022-A, Class C                                              | CUSIP: 12659WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9722000 | PA      | $9034207.39   | 0.12%             | 2029-04-16      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class B                               | CUSIP: 826525AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1215442 | PA      | $1129261.71   | 0.02%             | 2037-07-20      | Fixed         | 2.32%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1                 | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 104359441 | PA      | $3069190.29   | 0.04%             | 2027-09-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-71, Class NA                                                                  | CUSIP: 38378TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69928 | PA      | $65960.81     | 0.00%             | 2041-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-24, Class PF                                                           | CUSIP: 31397LAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85847 | PA      | $85814.99     | 0.00%             | 2038-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-127, Class AC                                                          | CUSIP: 3136A9C89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427448 | PA      | $400905.51    | 0.01%             | 2027-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560393 | PA      | $515430.10    | 0.01%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2445000 | PA      | $2437645.90   | 0.03%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-4A, Class C                                    | CUSIP: 30165JAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10117000 | PA      | $9437423.91   | 0.13%             | 2027-10-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2015-K45, Class C                                                  | CUSIP: 30292PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9700000 | PA      | $9181617.45   | 0.12%             | 2048-04-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49915 | PA      | $49041.36     | 0.00%             | 2037-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Edison International                                                 | Edison International                                                                            | CUSIP: 281020AJ6<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   7680000 | PA      | $7636826.96   | 0.10%             | 2023-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-100, Class PL                                                          | CUSIP: 3136AGVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771385 | PA      | $759124.41    | 0.01%             | 2043-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-64, Class PG                                                           | CUSIP: 31392ER28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1502301 | PA      | $1527951.83   | 0.02%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3258, Class PM                                                             | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371137 | PA      | $378459.84    | 0.01%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3326, Class FG                                                             | CUSIP: 31397JHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546938 | PA      | $536074.88    | 0.01%             | 2037-06-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                                 | Progress Residential, Series 2021-SFR3, Class B                                                 | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667000 | PA      | $574353.77    | 0.01%             | 2026-05-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  19975000 | PA      | $19570200.03  | 0.27%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2020-1A, Class A                                            | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3567101 | PA      | $3233006.08   | 0.04%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4360, Class PZ                                                             | CUSIP: 3137BCHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1635882 | PA      | $1457792.13   | 0.02%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 6A1                        | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66787 | PA      | $20036.13     | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-74, Class AT                                                                  | CUSIP: 38381VV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525350 | PA      | $478852.14    | 0.01%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-7, Class DZ                                                            | CUSIP: 3136B8LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767804 | PA      | $679793.42    | 0.01%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                         | Mizuho Financial Group, Inc.                                                                    | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   6315000 | PA      | $6066669.70   | 0.08%             | 2024-09-08      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138EKZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235655 | PA      | $236218.91    | 0.00%             | 2027-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-2, Class A                                            | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2391599 | PA      | $2340477.41   | 0.03%             | 2031-06-20      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K734, Class B                                                 | CUSIP: 302977AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3223838.18   | 0.04%             | 2051-02-25      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 334, Class 17                                                              | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134375 | PA      | $20887.75     | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C                                      | CUSIP: 22536BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330000 | PA      | $2175340.19   | 0.03%             | 2030-02-15      | Fixed         | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4302, Class MA                                                             | CUSIP: 3137B8ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379269 | PA      | $1319230.59   | 0.02%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3003, Class LD                                                             | CUSIP: 31395W4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106599 | PA      | $106734.70    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II                             | Reliance Standard Life Global Funding II                                                        | CUSIP: 75951AAM0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3770000 | PA      | $3753556.20   | 0.05%             | 2023-01-21      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138MRZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945765 | PA      | $891227.86    | 0.01%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H11, Class FA                                                                 | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228236 | PA      | $226059.05    | 0.00%             | 2063-04-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H05, Class FT                                                                 | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5707951 | PA      | $5711101.60   | 0.08%             | 2069-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31418MKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374664 | PA      | $367394.30    | 0.00%             | 2036-12-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                   | General Motors Co.                                                                              | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |  18140000 | PA      | $18377338.68  | 0.25%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-59, Class NZ                                                           | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669603 | PA      | $686920.69    | 0.01%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                             | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A                               | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $3863926.80   | 0.05%             | 2028-02-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-70, Class FA                                                           | CUSIP: 31396QYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79413 | PA      | $79310.40     | 0.00%             | 2039-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48239 | PA      | $46740.74     | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2021-1, Class A                                      | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14957000 | PA      | $13422933.80  | 0.18%             | 2031-03-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO XV                                              | Neuberger Berman CLO, Series 2013-15A, Class A1R2                                               | CUSIP: 64129KBE6<br>LEI: 549300UTI4Y2IA4RUP16 | Long             | ABS-CBDO         | CORP              | KY        |  13072000 | PA      | $12867044.11  | 0.18%             | 2029-10-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| AmerisourceBergen Corp.                                              | AmerisourceBergen Corp.                                                                         | CUSIP: 03073EAS4<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   4182000 | PA      | $4130947.94   | 0.06%             | 2023-03-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-H11, Class FB                                                                 | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311294 | PA      | $308597.37    | 0.00%             | 2061-04-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                                                | Theorem Funding Trust, Series 2021-1A, Class A                                                  | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2048565 | PA      | $2010790.91   | 0.03%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                    | NatWest Group plc                                                                               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   8600000 | PA      | $8961232.42   | 0.12%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-29, Class LC                                                                  | CUSIP: 38380VEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143310 | PA      | $139743.85    | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-15, Class EA                                                           | CUSIP: 3136B8U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681749 | PA      | $580031.74    | 0.01%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-132, Class GJ                                                                 | CUSIP: 38377YJC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202918 | PA      | $194990.87    | 0.00%             | 2026-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                            | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8005000 | PA      | $7956616.10   | 0.11%             | 2025-09-12      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140JAXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149641 | PA      | $1011007.26   | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4141, Class BI                                                             | CUSIP: 3137AWZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2626262 | PA      | $112679.27    | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                                | FRTKL, Series 2021-SFR1, Class B                                                                | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4960000 | PA      | $4245180.67   | 0.06%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131329 | PA      | $1176179.13   | 0.02%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2020-1, Class A                                      | CUSIP: 75907QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6210000 | PA      | $5743791.08   | 0.08%             | 2030-10-15      | Fixed         | 2.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-103, Class BT                                                          | CUSIP: 31394ULN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218996 | PA      | $218790.80    | 0.00%             | 2035-07-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 302, Class 350                                                            | CUSIP: 31283AM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177359 | PA      | $173235.20    | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4774, Class LP                                                             | CUSIP: 3137F4VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3562284 | PA      | $3425110.23   | 0.05%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H10, Class FK                                                                 | CUSIP: 38376RAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12315135 | PA      | $12037703.59  | 0.16%             | 2065-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                          | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                            | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113321 | PA      | $109213.94    | 0.00%             | 2034-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  39500000 | PA      | $37651921.40  | 0.51%             | 2025-01-24      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                          | Cigna Corp.                                                                                     | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    720000 | PA      | $714999.56    | 0.01%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR4, Class C                                                           | CUSIP: 66981FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7096265.60   | 0.10%             | 2037-11-17      | Fixed         | 1.86%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-9, Class ZA                                                            | CUSIP: 3136B33B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7044398 | PA      | $6522805.86   | 0.09%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-2, Class GA                                                            | CUSIP: 3136ARBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1810926 | PA      | $1684467.98   | 0.02%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                                     | NMEF Funding LLC, Series 2021-A, Class B                                                        | CUSIP: 62919TAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5406000 | PA      | $5160935.75   | 0.07%             | 2027-12-15      | Fixed         | 1.85%                 | Yes           |                  3 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2019-AA, Class A                                         | CUSIP: 56847MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5591281 | PA      | $5505640.36   | 0.07%             | 2032-07-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                                      | Nordea Bank Abp                                                                                 | CUSIP: 65558RAC3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |  19165000 | PA      | $19074337.67  | 0.26%             | 2025-09-22      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                                   | F&G Global Funding                                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $9998905.05   | 0.14%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                   | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42294 | PA      | $42238.17     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                  | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9670000 | PA      | $8399327.19   | 0.11%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Theorem Funding Trust                                                | Theorem Funding Trust, Series 2022-2A, Class A                                                  | CUSIP: 88339FAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12935884 | PA      | $12703400.41  | 0.17%             | 2028-12-15      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4361, Class CA                                                             | CUSIP: 3137BC3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408039 | PA      | $390893.37    | 0.01%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240285 | PA      | $239492.94    | 0.00%             | 2036-03-01      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                         | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9684 | PA      | $9483.55      | 0.00%             | 2025-11-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 369, Class 19                                                              | CUSIP: 3136FCN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71026 | PA      | $13884.45     | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-72, Class F                                                            | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106913 | PA      | $106403.98    | 0.00%             | 2034-09-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-117, Class MF                                                          | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289947 | PA      | $288911.47    | 0.00%             | 2038-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2020-SFR5, Class A                                                           | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12400000 | PA      | $10999628.32  | 0.15%             | 2037-11-17      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                               | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1398113 | PA      | $1362468.87   | 0.02%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2989, Class MU                                                             | CUSIP: 31395VFH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1208554 | PA      | $55132.79     | 0.00%             | 2034-07-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2059000 | PA      | $1751859.61   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-61, Class ZA                                                           | CUSIP: 31397UXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990409 | PA      | $997141.25    | 0.01%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                              | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  29887000 | PA      | $28666414.92  | 0.39%             | 2025-03-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418DQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349890 | PA      | $306444.76    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2850000 | PA      | $2818826.59   | 0.04%             | 2023-09-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-112, Class DA                                                          | CUSIP: 3136A84G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2023311 | PA      | $1851064.23   | 0.03%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A                                      | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8547467 | PA      | $8446891.73   | 0.11%             | 2029-07-16      | Fixed         | 1.37%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Note                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -791 | NC      | $-965692.35   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1210 | PA      | $1190.48      | 0.00%             | 2027-07-01      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270294 | PA      | $273954.57    | 0.00%             | 2036-03-01      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| VOLT CIII LLC                                                        | VOLT CIII LLC, Series 2021-CF1, Class A1                                                        | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14513418 | PA      | $13541643.14  | 0.18%             | 2051-08-25      | Variable      | 1.99%                 | Yes           |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C                            | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2502610.55   | 0.03%             | 2048-08-15      | Variable      | 4.78%                 | No            |                  3 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                           | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A                             | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20882000 | PA      | $19805841.95  | 0.27%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K54, Class B                                                  | CUSIP: 30288RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1421168.70   | 0.02%             | 2048-04-25      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3138MQZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349250 | PA      | $333770.97    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232641 | PA      | $236326.09    | 0.00%             | 2037-02-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 277, Class 30                                                             | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2463009 | PA      | $2271879.19   | 0.03%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  31140000 | PA      | $29700169.54  | 0.40%             | 2024-10-21      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202CF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2251 | PA      | $2259.91      | 0.00%             | 2025-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2019-4, Class D                                            | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6578354 | PA      | $6458723.79   | 0.09%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2014-C25, Class AS                                      | CUSIP: 92939LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7605000 | PA      | $7210509.64   | 0.10%             | 2047-11-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                                         | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3377242.75   | 0.05%             | 2038-04-15      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4759, Class MA                                                             | CUSIP: 3137FDJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93497 | PA      | $89392.99     | 0.00%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                         | CUSIP: 36225CBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       445 | PA      | $439.19       | 0.00%             | 2027-03-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31409X7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68133 | PA      | $66847.11     | 0.00%             | 2036-07-01      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-101, Class AR                                                          | CUSIP: 31394BE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9870 | PA      | $9929.21      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  25285000 | PA      | $25255384.19  | 0.34%             | 2023-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 31307M4Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360296 | PA      | $347671.82    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K722, Class C                                                 | CUSIP: 30295AAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3955031.60   | 0.05%             | 2049-07-25      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                               | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL4, Class A1                              | CUSIP: 741391AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8832353 | PA      | $7923818.86   | 0.11%             | 2060-10-27      | Variable      | 2.36%                 | Yes           |                  3 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2021-3, Class D                                  | CUSIP: 80287EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2500309.35   | 0.03%             | 2027-09-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-89, Class KE                                                           | CUSIP: 3136AQZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96754 | PA      | $90264.47     | 0.00%             | 2031-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8360000 | PA      | $8014823.46   | 0.11%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-49, Class GA                                                           | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2794202 | PA      | $2333092.68   | 0.03%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4318, Class KZ                                                             | CUSIP: 3137B9CG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2583542 | PA      | $2488123.38   | 0.03%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2617, Class Z                                                              | CUSIP: 31393RCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3457871 | PA      | $3520057.09   | 0.05%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2020-4, Class A                                         | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3458550 | PA      | $3029268.29   | 0.04%             | 2052-12-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43992 | PA      | $43879.87     | 0.00%             | 2037-04-01      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-H07, Class FA                                                                 | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1600125 | PA      | $1584759.65   | 0.02%             | 2061-02-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M6T57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88181 | PA      | $93235.33     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418CRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635872 | PA      | $567234.03    | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-4, Class A                                            | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9047587 | PA      | $8731303.75   | 0.12%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                                   | Aqua Finance Trust, Series 2021-A, Class A                                                      | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2457743 | PA      | $2244637.81   | 0.03%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4120, Class KA                                                             | CUSIP: 3137AVDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590470 | PA      | $546932.28    | 0.01%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31412QEB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37430 | PA      | $37888.83     | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673082 | PA      | $674416.07    | 0.01%             | 2037-08-01      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-147, Class NE                                                          | CUSIP: 3136ABDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1470045 | PA      | $1374026.28   | 0.02%             | 2041-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4207, Class JD                                                             | CUSIP: 3137B22F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156567 | PA      | $146396.77    | 0.00%             | 2028-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-66, Class MB                                                           | CUSIP: 3136AFVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1819971.40   | 0.02%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3946, Class BU                                                             | CUSIP: 3137AGHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103105 | PA      | $99933.71     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4020, Class N                                                              | CUSIP: 3137AML47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49048 | PA      | $47406.47     | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2020-3, Class C                            | CUSIP: 025297AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6451311 | PA      | $6391415.47   | 0.09%             | 2026-06-15      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                                 | CUSIP: 00912XAX2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   6305000 | PA      | $6280651.86   | 0.09%             | 2023-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31410GXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $233.43       | 0.00%             | 2023-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FD                                                                 | CUSIP: 38376RBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1393887 | PA      | $1368312.01   | 0.02%             | 2065-05-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1                                          | CUSIP: 52475JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940242 | PA      | $907458.39    | 0.01%             | 2060-06-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                                 | Progress Residential, Series 2021-SFR3, Class E1                                                | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1525096.44   | 0.02%             | 2026-05-17      | Fixed         | 2.54%                 | Yes           |                  3 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                         | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15923000 | PA      | $13594285.13  | 0.18%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                       | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                      | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10140214 | PA      | $9044183.66   | 0.12%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H16, Class FL                                                                 | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    685514 | PA      | $674814.63    | 0.01%             | 2064-07-20      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                              | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8400000 | PA      | $8346766.18   | 0.11%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-87, Class B                                                            | CUSIP: 31398FH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1504572 | PA      | $1478411.16   | 0.02%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20813 | PA      | $21067.04     | 0.00%             | 2035-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-1A, Class B                                                    | CUSIP: 23344GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1307370 | PA      | $1295782.10   | 0.02%             | 2025-09-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-14, Class EA                                                           | CUSIP: 3136A4WW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17964 | PA      | $17675.16     | 0.00%             | 2030-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4158, Class LD                                                             | CUSIP: 3137AXUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502707 | PA      | $448626.68    | 0.01%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                                              | National Bank of Canada                                                                         | CUSIP: 63307A2J3<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   2560000 | PA      | $2549637.73   | 0.03%             | 2023-02-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31418MWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106715 | PA      | $106341.08    | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-70, Class HA                                                           | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660611 | PA      | $637600.99    | 0.01%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class BF                                                           | CUSIP: 31395BZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152326 | PA      | $150705.85    | 0.00%             | 2036-04-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31417Y3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99619 | PA      | $98698.56     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                           | Australia & New Zealand Banking Group Ltd.                                                      | CUSIP: 052528AH9<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1000000 | PA      | $985892.90    | 0.01%             | 2024-03-19      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2090, Class F                                                              | CUSIP: 3133TGFY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61978 | PA      | $61727.57     | 0.00%             | 2028-10-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4936, Class AP                                                             | CUSIP: 3137FQHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272176 | PA      | $248238.67    | 0.00%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4425, Class TA                                                             | CUSIP: 3137BG4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309959 | PA      | $268532.76    | 0.00%             | 2045-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4215, Class NA                                                             | CUSIP: 3137B34Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143874 | PA      | $137805.04    | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                        | Lendbuzz Securitization Trust, Series 2021-1A, Class A                                          | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18620616 | PA      | $17687562.57  | 0.24%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-71, Class FB                                                           | CUSIP: 3136A0NT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9965 | PA      | $9963.72      | 0.00%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381611 | PA      | $347809.65    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-107, Class ZD                                                          | CUSIP: 31393T5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185433 | PA      | $1223326.43   | 0.02%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                          | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040878 | PA      | $4469346.57   | 0.06%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1                 | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67089359 | PA      | $1141525.44   | 0.02%             | 2027-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-88, Class ER                                                           | CUSIP: 3136AMCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77260 | PA      | $73058.91     | 0.00%             | 2036-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                            | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  13695000 | PA      | $12861558.32  | 0.18%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H09, Class FN                                                                 | CUSIP: 38376RTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2889198 | PA      | $2836163.06   | 0.04%             | 2066-03-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-44, Class N                                                            | CUSIP: 31359P4Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7883 | PA      | $7792.61      | 0.00%             | 2023-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                                       | ACM Auto Trust, Series 2022-1A, Class B                                                         | CUSIP: 00091QAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15312000 | PA      | $15178866.75  | 0.21%             | 2029-04-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                            | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8340000 | PA      | $8017593.61   | 0.11%             | 2024-09-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-10, Class PA                                                           | CUSIP: 3136ACAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956945 | PA      | $791832.81    | 0.01%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4749, Class ZL                                                             | CUSIP: 3137FCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18364141 | PA      | $16835230.34  | 0.23%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2015-CR26, Class B                                            | CUSIP: 12593QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1869234.40   | 0.03%             | 2048-10-10      | Variable      | 4.62%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3819, Class G                                                              | CUSIP: 3137A8LS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1450 | PA      | $1445.51      | 0.00%             | 2040-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-75, Class AC                                                                  | CUSIP: 38378J4L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    983258 | PA      | $918074.77    | 0.01%             | 2028-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-65, Class PA                                                           | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191236 | PA      | $173641.65    | 0.00%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-14, Class PA                                                           | CUSIP: 3136A4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202067 | PA      | $185532.23    | 0.00%             | 2041-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63859WAE9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4567043.90   | 0.06%             | 2026-09-14      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-139, Class PE                                                                 | CUSIP: 38380HEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4133753 | PA      | $3635674.36   | 0.05%             | 2047-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                                             | VCAT LLC, Series 2021-NPL1, Class A1                                                            | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1532620 | PA      | $1463005.42   | 0.02%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4392 | PA      | $4294.93      | 0.00%             | 2037-07-01      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class PE                                                           | CUSIP: 31398FSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2850557 | PA      | $2870478.10   | 0.04%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-15, Class EM                                                           | CUSIP: 3136B8V63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593922 | PA      | $531742.45    | 0.01%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 113860000 | PA      | $110911203.62 | 1.51%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2019-A, Class D                                              | CUSIP: 12596HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2042845 | PA      | $2040293.43   | 0.03%             | 2024-12-16      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138WAPU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2364056 | PA      | $2370047.93   | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2020-2, Class D                            | CUSIP: 02529WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3981544.40   | 0.05%             | 2026-05-13      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class A                                                 | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6471814 | PA      | $5541206.80   | 0.08%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2790, Class TN                                                             | CUSIP: 31394XZ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26492 | PA      | $26143.57     | 0.00%             | 2024-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  13700000 | PA      | $11990646.07  | 0.16%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-66, Class LB                                                           | CUSIP: 3136AFUQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86367 | PA      | $79782.66     | 0.00%             | 2043-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                                       | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2298 | PA      | $1377.47      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 15 Year                                                                                 | CUSIP: 3622A2LJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44026 | PA      | $43112.35     | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4952, Class PA                                                             | CUSIP: 3137FR4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1358109 | PA      | $1194342.11   | 0.02%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class CZ                                                             | CUSIP: 3137A0XN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379297 | PA      | $1335864.48   | 0.02%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-1A, Class C                                  | CUSIP: 96042KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8592018 | PA      | $8552305.32   | 0.12%             | 2025-04-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-5, Class B                                            | CUSIP: 91679JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $2687064.55   | 0.04%             | 2031-11-20      | Fixed         | 2.49%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140J9TK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521206 | PA      | $458299.35    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-H21, Class FA                                                                 | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194278 | PA      | $192840.50    | 0.00%             | 2061-10-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2326, Class ZQ                                                             | CUSIP: 3133TTX48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117957 | PA      | $121008.21    | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 31419ACT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44483 | PA      | $44304.00     | 0.00%             | 2024-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-26, Class HC                                                           | CUSIP: 3136AJF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12819 | PA      | $12749.94     | 0.00%             | 2028-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC - GNMA, Series 31, Class Z                                                                | CUSIP: 3133T5ER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5301 | PA      | $5328.11      | 0.00%             | 2024-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-71, Class JT                                                           | CUSIP: 31398FAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186009 | PA      | $190203.81    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2019-4, Class C                                              | CUSIP: 33845FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13300000 | PA      | $13102481.70  | 0.18%             | 2025-12-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1888, Class Z                                                              | CUSIP: 3133T7RW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23567 | PA      | $23815.34     | 0.00%             | 2026-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140JABU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3705818 | PA      | $3749636.51   | 0.05%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3775, Class DB                                                             | CUSIP: 3137A4UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312670 | PA      | $307030.87    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2020-3A, Class C                                    | CUSIP: 30166NAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085271 | PA      | $2056808.54   | 0.03%             | 2025-07-15      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3132LNYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4013787 | PA      | $3813339.84   | 0.05%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                       | Pagaya AI Debt Selection Trust, Series 2021-3, Class A                                          | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7871884 | PA      | $7648934.62   | 0.10%             | 2029-05-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-83, Class CA                                                           | CUSIP: 31397MXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474398 | PA      | $490230.88    | 0.01%             | 2038-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-41, Class CA                                                           | CUSIP: 3136ANZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504581 | PA      | $471735.62    | 0.01%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                               | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982227 | PA      | $896151.23    | 0.01%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-80, Class EB                                                           | CUSIP: 3136A7VD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323610 | PA      | $319870.36    | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                           | Shire Acquisitions Investments Ireland DAC                                                      | CUSIP: 82481LAC3<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |   3437000 | PA      | $3371659.06   | 0.05%             | 2023-09-23      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715619 | PA      | $758950.93    | 0.01%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A1                                  | CUSIP: 17307GAT5<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      3452 | PA      | $3466.19      | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2019-3A, Class D                                                    | CUSIP: 26253KAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7683318 | PA      | $7562402.46   | 0.10%             | 2025-04-15      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31410LQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464626 | PA      | $470775.66    | 0.01%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                  | Societe Generale SA                                                                             | CUSIP: 83368RAV4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3500000 | PA      | $3268848.87   | 0.04%             | 2025-01-22      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C17, Class C                    | CUSIP: 61763UBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5339286 | PA      | $4984112.96   | 0.07%             | 2047-08-15      | Variable      | 4.64%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-154, Class MW                                                          | CUSIP: 31398SY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3937017 | PA      | $3739234.34   | 0.05%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2020-3A, Class C                                      | CUSIP: 36260CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9811338 | PA      | $9716139.52   | 0.13%             | 2025-05-15      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| Triton Container International Ltd.                                  | Triton Container International Ltd.                                                             | CUSIP: 89680YAD7<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |  25515000 | PA      | $24590081.25  | 0.33%             | 2023-08-01      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 15 Year                                                                             | CUSIP: 3132A9AZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2923681 | PA      | $2873719.46   | 0.04%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-59, Class HB                                                           | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1251306 | PA      | $1250405.41   | 0.02%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1779, Class Z                                                              | CUSIP: 3133T6CY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25339 | PA      | $26091.12     | 0.00%             | 2025-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-100, Class P                                                           | CUSIP: 3136AUG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69174 | PA      | $66682.25     | 0.00%             | 2044-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                                          | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3916458 | PA      | $3464613.21   | 0.05%             | 2061-07-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 394, Class C3                                                              | CUSIP: 3136FGDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285457 | PA      | $53330.15     | 0.00%             | 2038-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2953, Class PG                                                             | CUSIP: 31395PMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263630 | PA      | $268443.54    | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                              | CUSIP: 3138MBWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52471 | PA      | $50673.43     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-99, Class AF                                                           | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103095 | PA      | $101464.18    | 0.00%             | 2035-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class IW                                                             | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291740 | PA      | $8505.98      | 0.00%             | 2037-04-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  15000000 | PA      | $14862875.85  | 0.20%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3036, Class NE                                                             | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86708 | PA      | $87230.35     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4080, Class DA                                                             | CUSIP: 3137ARRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233215 | PA      | $216509.31    | 0.00%             | 2041-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2021-3, Class A1                                                               | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4699765 | PA      | $4160649.99   | 0.06%             | 2026-04-25      | Variable      | 1.87%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class B                                            | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    544114 | PA      | $493113.25    | 0.01%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  3 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2020-B, Class D                                              | CUSIP: 12656CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6359145 | PA      | $6331488.49   | 0.09%             | 2026-04-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31374VCS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2465 | PA      | $2430.04      | 0.00%             | 2025-10-01      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                                | Gray Oak Pipeline LLC                                                                           | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9850000 | PA      | $9572801.69   | 0.13%             | 2023-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418CBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    915148 | PA      | $833862.72    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                                | Mission Lane Credit Card Master Trust, Series 2022-A, Class A                                   | CUSIP: 60510MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3616000 | PA      | $3522915.48   | 0.05%             | 2027-09-15      | Fixed         | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                | Nomura Holdings, Inc.                                                                           | CUSIP: 65535HAR0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   8625000 | PA      | $7877081.92   | 0.11%             | 2025-07-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4129, Class AP                                                             | CUSIP: 3137AVYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610314 | PA      | $570642.67    | 0.01%             | 2027-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3229, Class AF                                                             | CUSIP: 31397BRF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26070 | PA      | $25764.33     | 0.00%             | 2023-08-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-32, Class DE                                                           | CUSIP: 3136A4T66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112237 | PA      | $109500.25    | 0.00%             | 2026-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-117, Class FM                                                          | CUSIP: 31396YAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154675 | PA      | $154122.62    | 0.00%             | 2038-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                                        | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                       | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8028662 | PA      | $7086569.59   | 0.10%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                              | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  12090000 | PA      | $10955607.27  | 0.15%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40520 | PA      | $40420.57     | 0.00%             | 2037-01-01      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138M1MU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2959965 | PA      | $2792116.84   | 0.04%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31417GJE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2216878 | PA      | $2087340.21   | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 15 Year                                                                       | CUSIP: 3128MB2F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24961 | PA      | $24870.86     | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                  | Constellation Energy Generation LLC                                                             | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   4675000 | PA      | $4488088.36   | 0.06%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                      | Air Lease Corp.                                                                                 | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2455747.83   | 0.03%             | 2024-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P8CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566010 | PA      | $1509918.28   | 0.02%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                   | CenterPoint Energy Resources Corp.                                                              | CUSIP: 15189WAM2<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |  22550000 | PA      | $22292986.15  | 0.30%             | 2023-03-02      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2963, Class ZG                                                             | CUSIP: 31395TPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433109 | PA      | $434090.83    | 0.01%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-65, Class DZ                                                                  | CUSIP: 38380B7B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2766379 | PA      | $2401322.59   | 0.03%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                 | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $10767760.90  | 0.15%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  35000000 | PA      | $34406691.55  | 0.47%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-5, Class PA                                                            | CUSIP: 31394B5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335354 | PA      | $332331.23    | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-37, Class BC                                                           | CUSIP: 3136B17E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310830 | PA      | $290440.27    | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                                           | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3165000 | PA      | $2969344.57   | 0.04%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4206, Class DZ                                                             | CUSIP: 3137B2FF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496137 | PA      | $443194.70    | 0.01%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                      | Santander UK Group Holdings plc                                                                 | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  15360000 | PA      | $14251780.92  | 0.19%             | 2025-03-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                                          | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  10585000 | PA      | $10271047.31  | 0.14%             | 2024-06-12      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H14, Class FA                                                                 | CUSIP: 38376RCB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4908723 | PA      | $4829966.58   | 0.07%             | 2065-06-20      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3420, Class EI                                                             | CUSIP: 31397RE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2974791 | PA      | $131102.29    | 0.00%             | 2037-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3934, Class KB                                                             | CUSIP: 3137AG7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    514762 | PA      | $521858.99    | 0.01%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4150, Class FN                                                             | CUSIP: 3137AY3P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393349 | PA      | $388691.15    | 0.01%             | 2041-07-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-64, Class DM                                                           | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751522 | PA      | $755330.29    | 0.01%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2019-1A, Class C                                      | CUSIP: 36256DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4787233 | PA      | $4775599.82   | 0.06%             | 2024-12-16      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A                           | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122848 | PA      | $108101.10    | 0.00%             | 2043-06-25      | Variable      | 3.60%                 | No            |                  3 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-3A, Class B                                                    | CUSIP: 23344QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14619000 | PA      | $14052117.58  | 0.19%             | 2025-11-17      | Fixed         | 0.58%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                                         | Upstart Securitization Trust, Series 2021-5, Class A                                            | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14831561 | PA      | $14151518.93  | 0.19%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| Jackson National Life Global Funding                                 | Jackson National Life Global Funding                                                            | CUSIP: 46849LSS1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |  14750000 | PA      | $14352720.40  | 0.20%             | 2024-01-30      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2019-2, Class C                                              | CUSIP: 33845WAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2939114 | PA      | $2920110.33   | 0.04%             | 2025-05-15      | Fixed         | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128CUW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1152794 | PA      | $1169345.59   | 0.02%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1994-15, Class ZK                                                           | CUSIP: 31359GPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52157 | PA      | $51877.59     | 0.00%             | 2024-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343280 | PA      | $344935.96    | 0.00%             | 2036-10-01      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-10, Class FA                                                           | CUSIP: 3136AVPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227934 | PA      | $223892.02    | 0.00%             | 2047-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36206W5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       333 | PA      | $333.90       | 0.00%             | 2026-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4922, Class GE                                                             | CUSIP: 3137FNXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892019 | PA      | $794965.82    | 0.01%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-43, Class HJ                                                           | CUSIP: 31398RCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165084 | PA      | $168765.19    | 0.00%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-139, Class NY                                                          | CUSIP: 3136AAMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585503 | PA      | $1598963.98   | 0.02%             | 2042-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132766 | PA      | $131538.99    | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-81, Class HE                                                           | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1796281 | PA      | $1862908.52   | 0.03%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-70, Class JA                                                           | CUSIP: 3136B7NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158626 | PA      | $141774.96    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-33, Class MA                                                           | CUSIP: 3136B44U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748526 | PA      | $721676.42    | 0.01%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4199, Class YZ                                                             | CUSIP: 3137B2BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4309249 | PA      | $4074885.93   | 0.06%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                                | Nomura Holdings, Inc.                                                                           | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  20765000 | PA      | $18111350.95  | 0.25%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-2A, Class C                                  | CUSIP: 96042PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2236837 | PA      | $2210058.76   | 0.03%             | 2025-07-15      | Fixed         | 2.01%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                              | CUSIP: 05971KAK5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  21200000 | PA      | $20512754.30  | 0.28%             | 2024-06-30      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-33, Class MS                                                           | CUSIP: 31396VGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1143352 | PA      | $75908.28     | 0.00%             | 2037-04-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                           | Flagship Credit Auto Trust, Series 2021-1, Class B                                              | CUSIP: 33843WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7330000 | PA      | $7117319.32   | 0.10%             | 2027-02-16      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4303, Class VA                                                             | CUSIP: 3137B83W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259159 | PA      | $253697.83    | 0.00%             | 2025-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-45, Class GA                                                           | CUSIP: 3136APET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413738 | PA      | $397856.58    | 0.01%             | 2041-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                         | Barclays plc                                                                                    | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  14600000 | PA      | $13806323.85  | 0.19%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4279, Class JA                                                             | CUSIP: 3137B6FZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30507 | PA      | $30411.28     | 0.00%             | 2037-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4352, Class A                                                              | CUSIP: 3137BBEJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11253 | PA      | $11213.98     | 0.00%             | 2040-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3132QSG44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2384971 | PA      | $2332152.77   | 0.03%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31417EEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535890 | PA      | $505015.99    | 0.01%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                          | Federation des Caisses Desjardins du Quebec                                                     | CUSIP: 31429KAD5<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   4430000 | PA      | $4126042.37   | 0.06%             | 2025-02-10      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class PF                                                           | CUSIP: 31394EKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120337 | PA      | $118907.20    | 0.00%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 218                                                                       | CUSIP: 3128CVUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85171 | PA      | $74041.94     | 0.00%             | 2032-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                         | CUSIP: 36202KXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4374 | PA      | $4322.87      | 0.00%             | 2026-01-20      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 36202EWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1066414 | PA      | $1136353.76   | 0.02%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                                 | Macquarie Group Ltd.                                                                            | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  17590000 | PA      | $17691871.43  | 0.24%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C                                      | CUSIP: 22537CAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2243259.25   | 0.03%             | 2030-06-17      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-90, Class ZU                                                           | CUSIP: 31394BVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    949803 | PA      | $985022.91    | 0.01%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3609, Class SA                                                             | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1963289 | PA      | $100960.95    | 0.00%             | 2039-12-15      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1618989 | PA      | $1668524.32   | 0.02%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                    | Wells Fargo & Co.                                                                               | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14025000 | PA      | $13697822.56  | 0.19%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4074, Class PA                                                             | CUSIP: 3137ASLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477059 | PA      | $462263.64    | 0.01%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140HJL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366869 | PA      | $339453.18    | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2020-3, Class A                                         | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2811521 | PA      | $2482321.05   | 0.03%             | 2053-08-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-42, Class CI                                                           | CUSIP: 31393BUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153475 | PA      | $21281.04     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                            | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146124 | PA      | $146868.89    | 0.00%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156794 | PA      | $166114.01    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-102, Class PZ                                                          | CUSIP: 3136B0EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2262791 | PA      | $1967128.95   | 0.03%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 1995-W3, Class A                                          | CUSIP: 31359LVT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $67.34        | 0.00%             | 2025-04-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4620                                                                       | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297101 | PA      | $47527.87     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4550, Class NA                                                             | CUSIP: 3137BN2R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531766 | PA      | $514282.45    | 0.01%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                      | Danske Bank A/S                                                                                 | CUSIP: 23636AAY7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  18115000 | PA      | $18102720.75  | 0.25%             | 2023-12-08      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31385XRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7232 | PA      | $7241.96      | 0.00%             | 2030-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4450, Class NH                                                             | CUSIP: 3137BGUL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29609 | PA      | $29370.49     | 0.00%             | 2043-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2019-1A, Class D                                                    | CUSIP: 23343GAG7<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |   2437687 | PA      | $2433976.70   | 0.03%             | 2024-11-15      | Fixed         | 3.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128QGL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99456 | PA      | $98293.95     | 0.00%             | 2036-12-01      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140QDW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406431 | PA      | $355966.04    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-141, Class MA                                                          | CUSIP: 3136A26C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218267 | PA      | $211583.97    | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37181 | PA      | $36329.97     | 0.00%             | 2035-03-01      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                              | Hyundai Capital America                                                                         | CUSIP: 44891ABJ5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7508850.00   | 0.10%             | 2023-04-06      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Structured Pass-Through Securities Certificates, Series T-20, Class A6                    | CUSIP: 3133TMFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | CORP              | US        |       619 | PA      | $609.52       | 0.00%             | 2029-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061319 | PA      | $1051521.22   | 0.01%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-46, Class FW                                                           | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264435 | PA      | $260987.14    | 0.00%             | 2036-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448741 | PA      | $446572.81    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-3A, Class C                                    | CUSIP: 30166AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30673000 | PA      | $28765289.70  | 0.39%             | 2026-10-15      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                               | Santander Drive Auto Receivables Trust, Series 2021-2, Class D                                  | CUSIP: 80286XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3242389.85   | 0.04%             | 2027-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2020-3A, Class D                                  | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5136186.00   | 0.07%             | 2026-02-17      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128CUTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212488 | PA      | $215531.44    | 0.00%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-FNT1, Class A                               | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1344623 | PA      | $1191631.33   | 0.02%             | 2026-03-25      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-102, Class IB                                                          | CUSIP: 3136A8SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2204942 | PA      | $111119.82    | 0.00%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2021-C, Class C                                              | CUSIP: 12598CAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7138000 | PA      | $6837278.20   | 0.09%             | 2027-06-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418ASX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753255 | PA      | $673700.08    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13850000 | PA      | $12200992.96  | 0.17%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                | Athene Global Funding                                                                           | CUSIP: 04685A3A7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |  29420000 | PA      | $26955096.49  | 0.37%             | 2024-08-19      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GXZ2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  51280000 | PA      | $50521461.62  | 0.69%             | 2024-03-08      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K733, Class C                                                 | CUSIP: 30297MAU4<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6584647.30   | 0.09%             | 2025-09-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473026 | PA      | $479439.81    | 0.01%             | 2037-05-01      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-6, Class HD                                                            | CUSIP: 3136ABU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350893 | PA      | $306343.34    | 0.00%             | 2042-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                      | Nordstrom, Inc.                                                                                 | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2210410.00   | 0.03%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class QG                                                           | CUSIP: 31392F4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327875 | PA      | $330515.75    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class FC                                                           | CUSIP: 31394V5L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85274 | PA      | $84251.82     | 0.00%             | 2036-03-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                                | GM Financial Automobile Leasing Trust, Series 2021-1, Class B                                   | CUSIP: 36261RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2058000 | PA      | $1994513.17   | 0.03%             | 2025-02-20      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H13, Class FG                                                                 | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338174 | PA      | $334627.13    | 0.00%             | 2065-04-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2021-D, Class C                                              | CUSIP: 12658VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13514000 | PA      | $12674558.97  | 0.17%             | 2027-12-15      | Fixed         | 1.59%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                                    | BAT Capital Corp.                                                                               | CUSIP: 05526DBJ3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |  11060000 | PA      | $10266057.13  | 0.14%             | 2026-09-06      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1547917 | PA      | $1516453.51   | 0.02%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2019-1A, Class A                                            | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2660701 | PA      | $2592107.73   | 0.04%             | 2032-02-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2021-C, Class B                                              | CUSIP: 12598CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000726 | PA      | $12824840.28  | 0.17%             | 2025-07-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                     | First Investors Auto Owner Trust, Series 2021-1A, Class B                                       | CUSIP: 32059FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2405601.00   | 0.03%             | 2027-03-15      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H06, Class FC                                                                 | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2293898 | PA      | $2254673.83   | 0.03%             | 2066-02-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-81, Class NC                                                           | CUSIP: 3136AFN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573256 | PA      | $553514.03    | 0.01%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2021-1A, Class A                                            | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19424352 | PA      | $16907344.43  | 0.23%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A                                      | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24545000 | PA      | $23452371.96  | 0.32%             | 2030-02-15      | Fixed         | 0.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                       | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846489 | PA      | $805352.92    | 0.01%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                              | Volkswagen Group of America Finance LLC                                                         | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2359000 | PA      | $2337141.46   | 0.03%             | 2023-05-12      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3844, Class FA                                                             | CUSIP: 3137A8VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229540 | PA      | $226061.00    | 0.00%             | 2041-04-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-118, Class EF                                                          | CUSIP: 31398NVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39507 | PA      | $39462.74     | 0.00%             | 2039-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class A                                                                | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1658173 | PA      | $1514664.52   | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR6, Class 4A1                | CUSIP: 65535VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1298719 | PA      | $349931.43    | 0.00%             | 2035-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2020-2A, Class B                                      | CUSIP: 38014RAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4351140 | PA      | $4329186.39   | 0.06%             | 2025-06-16      | Fixed         | 3.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-14, Class AC                                                           | CUSIP: 31398MEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176574 | PA      | $173263.61    | 0.00%             | 2030-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3656, Class PM                                                             | CUSIP: 31398VLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2382581 | PA      | $2412895.86   | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4088, Class LE                                                             | CUSIP: 3137ASQ72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158338 | PA      | $157039.81    | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H16, Class FM                                                                 | CUSIP: 38376REA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3135486 | PA      | $3079027.68   | 0.04%             | 2065-07-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128NKEF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80143 | PA      | $80635.68     | 0.00%             | 2037-08-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-59, Class HZ                                                                  | CUSIP: 38377FXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1495335 | PA      | $1492526.07   | 0.02%             | 2040-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140J75W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118855 | PA      | $1092899.08   | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M10, Class X1                                                            | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56145891 | PA      | $5780522.64   | 0.08%             | 2030-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-133, Class WA                                                          | CUSIP: 3136AHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2056835 | PA      | $1962971.51   | 0.03%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3005, Class PV                                                             | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2850 | PA      | $2837.23      | 0.00%             | 2033-10-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-62, Class HJ                                                           | CUSIP: 31396QTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65252 | PA      | $65093.75     | 0.00%             | 2039-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                  | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  46955000 | PA      | $44161999.21  | 0.60%             | 2025-01-22      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820918 | PA      | $853368.37    | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4286, Class J                                                              | CUSIP: 3137B6TN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67157 | PA      | $66680.48     | 0.00%             | 2027-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889104 | PA      | $900897.54    | 0.01%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-37, Class CY                                                           | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53552 | PA      | $54070.54     | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-80, Class JP                                                           | CUSIP: 3136AUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    698318 | PA      | $634772.18    | 0.01%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3140X5XF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3040860 | PA      | $2889950.03   | 0.04%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                 | CUSIP: 36225BCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12 | PA      | $12.14        | 0.00%             | 2025-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 31297KUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73197 | PA      | $75000.29     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2736, Class PE                                                             | CUSIP: 31394PJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3202090 | PA      | $3205744.45   | 0.04%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140X66U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1539664 | PA      | $1509691.36   | 0.02%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149919 | PA      | $149867.16    | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                              | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411825 | PA      | $403625.12    | 0.01%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                   | Atmos Energy Corp.                                                                              | CUSIP: 049560AU9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   6975000 | PA      | $6900309.54   | 0.09%             | 2023-03-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H16, Class CF                                                                 | CUSIP: 38375UF21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    567696 | PA      | $561399.49    | 0.01%             | 2067-07-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-83, Class KP                                                                  | CUSIP: 38382GDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297593 | PA      | $269062.22    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-15, Class ZG                                                           | CUSIP: 3136B1HM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969514 | PA      | $1786177.97   | 0.02%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 31418AKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1826292 | PA      | $1633870.09   | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                                              | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    156608 | PA      | $138909.95    | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-51, Class KC                                                           | CUSIP: 3136APJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351829 | PA      | $329854.69    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                           | CUSIP: 3128S47F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196766 | PA      | $192502.93    | 0.00%             | 2038-01-01      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-137, Class BA                                                          | CUSIP: 3136AHSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392629 | PA      | $364516.63    | 0.00%             | 2029-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132G5AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638159 | PA      | $605662.72    | 0.01%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K735, Class B                                                 | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7480000 | PA      | $7053212.14   | 0.10%             | 2026-05-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8525000 | PA      | $8086205.04   | 0.11%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H22, Class FA                                                                 | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5297905 | PA      | $5217364.21   | 0.07%             | 2066-10-20      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                   | Banco Santander SA                                                                              | CUSIP: 05971KAD1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |  15000000 | PA      | $14408704.50  | 0.20%             | 2024-06-27      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                | Sumitomo Mitsui Financial Group, Inc.                                                           | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  20905000 | PA      | $19058373.97  | 0.26%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138EQJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830074 | PA      | $812836.91    | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                       | CUSIP: 3128M67C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658788 | PA      | $660150.43    | 0.01%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-3A, Class C                                                    | CUSIP: 23344QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12495000 | PA      | $11615791.82  | 0.16%             | 2027-05-17      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H20, Class BA                                                                 | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338296 | PA      | $335615.14    | 0.00%             | 2062-09-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3585, Class KW                                                             | CUSIP: 31398K5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1546025 | PA      | $1523739.74   | 0.02%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2019-2, Class D                            | CUSIP: 02530DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5878278 | PA      | $5858878.05   | 0.08%             | 2025-06-12      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                             | CUSIP: 3132AD2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4111025 | PA      | $4172910.93   | 0.06%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4646, Class JV                                                             | CUSIP: 3137BUEU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6446000 | PA      | $6163028.98   | 0.08%             | 2036-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2020-2A, Class D                                    | CUSIP: 30167YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5075000 | PA      | $5025816.15   | 0.07%             | 2026-04-15      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2022-2A, Class B                                              | CUSIP: 78397WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1994358.40   | 0.03%             | 2032-02-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-9, Class CB                                                            | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2783274 | PA      | $2845104.86   | 0.04%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4675, Class EZ                                                             | CUSIP: 3137BXN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1580113 | PA      | $1387617.51   | 0.02%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2021-1A, Class A                                               | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |  13323870 | PA      | $11918130.18  | 0.16%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Skopos Auto Receivables Trust                                        | Skopos Auto Receivables Trust, Series 2019-1A, Class C                                          | CUSIP: 83085DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94270 | PA      | $94096.64     | 0.00%             | 2024-09-16      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                         | Southern Natural Gas Co. LLC                                                                    | CUSIP: 84346LAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6210000 | PA      | $6070965.74   | 0.08%             | 2023-04-28      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 3138EM6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389683 | PA      | $389102.80    | 0.01%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4423, Class VN                                                             | CUSIP: 3137BFGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1040112.15   | 0.01%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                 | Mitsubishi UFJ Financial Group, Inc.                                                            | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  27160000 | PA      | $25188525.13  | 0.34%             | 2025-07-19      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3952, Class BQ                                                             | CUSIP: 3137AHWJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2538393 | PA      | $2275060.97   | 0.03%             | 2041-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2020-CBM, Class B                                             | CUSIP: 20049AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4765000 | PA      | $4322625.98   | 0.06%             | 2037-02-10      | Fixed         | 3.10%                 | Yes           |                  3 | On Loan: No      |
| Leidos, Inc.                                                         | Leidos, Inc.                                                                                    | CUSIP: 52532XAB1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   4150000 | PA      | $4106897.02   | 0.06%             | 2023-05-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3013, Class HZ                                                             | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779009 | PA      | $779449.48    | 0.01%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5870000 | PA      | $5552882.41   | 0.08%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer